Exclusive jurisdiction exists in civil procedure if one court has the power to adjudicate a case to the exclusion of all other courts. The opposite situation is concurrent jurisdiction (or non-exclusive jurisdiction) in which more than one court may take jurisdiction over the case.
Exclusive jurisdiction is typically defined in terms of subject matter.
For example, 28 U.S.C. § 1334 gives the United States district courts exclusive jurisdiction over all matters arising in bankruptcy with a few exceptions.
On the federal level, exclusive jurisdiction allows the US Supreme Court to review the decisions in lower courts.