Cross domain request is a HTTP request from other domain. Browsers do not support the XmlHttpRequest from other domain. Cross origin resource sharing provides a way to allow these type of requests. You need to set the headers to allow the other domain in your file. It supports both request methods such as GET and POST and provides the error handling as well that's why it is more beneficial than the jsonp request which supports only GET request method.

We can allow the other third party server to access the files from your website setup. If you are looking fro this then you need to write the following in your file

header("Access-Control-Allow-Origin: *");
header("Access-Control-Allow-Methods: PUT, GET, POST");
header("Access-Control-Allow-Headers: Origin, X-Requested-With, Content-Type, Accept");

OR

You need to set the following code in your .htaccess file

# BEGIN WordPress
<IfModule mod_rewrite.c>
RewriteEngine On
RewriteBase /
RewriteRule ^index\.php$ - [L]
RewriteCond %{REQUEST_FILENAME} !-f
RewriteCond %{REQUEST_FILENAME} !-d
RewriteRule . /index.php [L]
</IfModule>

<FilesMatch "\.(php)$">
  <IfModule mod_headers.c>
    Header set Access-Control-Allow-Origin "*"
  </IfModule>
</FilesMatch>

# END WordPress