A MIDI-THRU (output) is an auxiliary output for MIDI signals, mostly found on musical instruments such as synthesizers. It started to be added soon after the introduction of MIDI into the market, in order to improve performance. It is mostly used to 'daisy-chain' MIDI devices, in effect, re-transmitting unchanged MIDI data along to the next MIDI device.
MIDI consists of a ring of cables, with a transceiver between each cable inside each device. The transceivers physically separate the two cables, meaning that signals not intended for that device have to be re-sent onto the output line. This introduces a delay, one that is long enough to become audible on larger MIDI rings.
The MIDI-THRU port avoids this delay by linking the THRU port to the MIDI-IN socket almost directly. The MIDI-OUT port is then used only for signals originating in that device.