Shell like bash or sh are application which provide you a way to run other application/commands via the command line interface.
Most of the command and applications which you run (like vi, nano, ls, fsck etc) are separate applications, when you type in any of these commands the shell looks them up and runs them.
you can use a command called βwhichβ to find out where a particular command file is located. (e.g. which ls will give you where ls command is)
Now there are some set of commands which are a part of the shell itself, i.e. they are built into the shell itself, so when you execute these commands the shell does not need to lookup where these commands as they are built into the shell itself.
some of these command are (with respect to bash) exit, logout, source, bg etc.
Check out the following for more details
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