DHCP Relay is a network feature that helps devices on different subnets obtain IP addresses from a DHCP Server. When a device sends a request for an IP address, the relay agent captures this request and forwards it to the server, which may be located on a different network segment. This process allows devices that are not on the same local network as the DHCP Server to still receive configuration information. The relay agent also sends the server's response back to the requesting device, ensuring that all devices can connect to the network efficiently, regardless of their location.