In HLSL, #include directives are a type of preprocessor directive. They instruct the compiler to include the contents of one HLSL file inside another. The file that they include is called an include file.
In Unity, regular #include directives work the same as in standard HLSL. For more information on regular #include directives, see the HLSL documentation: include Directive.
There is an important limitation to #include directives in HLSL in Unity: you cannot use #pragma directives in an include file.