Imagine we have a system $X,$ which may be a subsystem of a larger composite system that is entangled, or simply a system about which we have insufficient information (or a noisy/lossy system), such that we don't really know in which state our system has been prepared in, we only know at most the set of states $|a\rangle, |b\rangle, \dots$ it could be in, each with some probability $p_{a}, p_{b}$ and so on, where $\sum_i p_i = 1.$ Now the question is, how do you characterize this system? Can you assign a definite state vector $|x\rangle$ to it? that is, describing the state in terms of a set of basis vectors of a Hilbert space.
The short answer is, no: meaning that we cannot write down a ket/definite-state-vector $|x\rangle$ for $X$ in the form of $|x\rangle = \sum_n c_n |\phi_n\rangle$ where $\{|\phi_n\rangle\}$ is a basis and all $c_n$ coefficients are known and unique. Whenever we can write down such state, with all coefficients known, then we say our system is in a pure state, which means a definite ket in $\mathcal H,$ which means all the relative phases between the basis elements in the state are known, for instance it could be in a superposition of basis states with definite phase relations between the terms of the superposition (i.e., the $c_n$'s known).
The best one can do is describe $X$ as no more than what it is, namely, a mixture of states, which you can interpret as a statistical distribution, very much similar to the concept of ensembles in classical statistical mechanics, where adopting the same notation as before, $X$ is a mixed state which you can describe as an ensemble of various possible definite states $|a\rangle, |b\rangle, \dots,$ where then $p_a, p_b, \dots$ correspond to the fraction of the respective states in that ensemble. For mixed states, we have no choice but to describe the system in terms of density operators as opposed to kets in $\mathcal H,$ and to better understand density operators, let's assume we want to measure some observable $O$ of the system. We know the expectation value of $O$ for each state of the ensemble, e.g., for the state $|a\rangle,$ it is $\langle O\rangle_a = \langle a |O|a\rangle,$ extending this to the whole ensemble and knowing the fraction of times each state occurs in the ensemble, the average value of $O$ is the weighted average of all the expectation values:
$$
\langle O\rangle = \sum_i p_i \langle O\rangle_i \tag{1}
$$
which we can slightly rewrite using the trace (and using the linearity of the trace operation)
\begin{align}
\langle O\rangle &= \sum_i p_i \text{Tr }|i\rangle \langle i| O \tag{2} \\
&= \text{Tr } \sum_i p_i |i\rangle \langle i| O \\
&= \text{Tr } \rho O \tag{3}
\end{align}
$\rho$ is what we call the density operator, a description of $X$ that allows us to compute average values for any system observable. Note that the density operators are not limited to mixed states, we can also write down pure states in terms of them, e.g., if we know our system is in a definite state vector $|a\rangle,$ then the corresponding density operator is $\rho = |a\rangle \langle a|,$ which means the probability $p_a=1,$ in other words we know exactly in which state our system is, which you can further interpret as an ensemble where we only have copies of $|a\rangle.$ Inserting $\rho$ back into $(3),$ you can easily convince yourself that we retrieve the correct expectation value $\langle a |O|a\rangle$ for any observable $O.$
So you see with density operators, we have generalized our description of quantum systems to consistently include pure and mixed states.
Now anything you know about statistical mixtures, e.g., in statistical mechanics, holds here as well. For instance, different mixtures of states (i.e., ensembles that involve different states) may lead to the same density operator, i.e., the different mixtures lead to the same expectation values for any observable, we say they are statistically indistinguishable. Take a simple qubit example, first an equiprobable mixture of states $|0\rangle, |1\rangle$ (with then $p_{0,1}=1/2$), and then an equiprobable mixture of superposition states $\frac{1}{\sqrt{2}}(|0\rangle \pm |1\rangle),$ and see what density operators you find for each mixture.