A state space is the set of all possible states a given system may be at a particular moment in time.
EXAMPLE
For a die of six sides:
For the weather (we could consider more states):
We may have discrete (e.g. ) or continuos (e.g. ) state spaces. They may also be finite or infinite.
More on this topic later, as we can say many things about it in the domain of control theory or physics.