It's an AI feature from them that is supposed to play music based off numerous factors, primarily by what you've been listening to recently. It also tries to mix in music that is related to what you're listening to as well, but haven't heard before. But as Spuddlesv2 mentioned below, it sometimes does play music that is out of that - doesn't happen too often to me but when it does, you can click the DJ icon (the queue button becomes the DJ button) and it'll "change it up". It also uses a dynamically AI generated voice based on their "Head of Cultural Partnerships, Xavier 'X' Jernigan" and talks to you the way you'd expect a DJ to if they were playing for you personally whenever its moving to a different set of music. I'm not sure what regions its available in, but if its available in your region (and you're a Spotify Premium member) you'll see it as a playlist option, and generally on the homescreen as well.

Here's a link to Spotify's initial newsroom article on it. And over on this article from August at the bottom they list the markets/regions its available in. If you're in both an eligible "market" and you have Premium but still don't see it, perhaps your app might be out of date? Try launching their Web UI as once you have selected it for the first time, it should appear in the recents area.