The CPU has cores for parallel processing like a GPU does (though not as fast or numerous; think hundreds vs thousands). These are not to be confused with the main CPU cores meant for fast single-threaded performance. Intel calls them "execution cores."

The bigger difference for performance is that integrated graphics share RAM with the CPU while GPUs have their own ultra-fast dedicated RAM for the type of work they do.

https://superuser.com/questions/732616/how-does-integrated-graphics-card-work

See the picture in the comment for the question. The short answer is there's a section of the die that has a "graphics chip" etched into it instead of something else.

Your CPU isn’t just the main cores that process things. It’s basically the entire damn computer on one chip at this point. Integrated graphics means it just has an actual GPU (the parallel computey kind) on the same chip.

Now that Intel and AMD both make dedicated GPUs it’s literally the exact same stuff from their dedicated cards, just cut down to the bare minimum to fit in the package.

CPU: Central Peocessing Unit

GPU: Graphical Processing Unit

APU: Another Processing Unit

NPU: Not a Processing Unit

GPGPU: Grandpa's Graphics Processing Unit

A processor with integrated graphics is just a SoC it combines both CPU and GPU onto one chip so it has both sequential processing and parallel processing.

Well, it works like this. The same way it worked back in the day, really.

Take a look at this processor, MOS 6502. Don't need to know much about integrated circuits to notice that, oh, it's got that kind of squares up there, that kind of squares down there.

Now take a look at the processor in the Nintendo Entertainment System, Ricoh 2A03/2A07, with its integrated sound synthesiser. Oh look, there's a familiar shape in the bottom right corner!

Edit: I have no clue why this was downvoted. Was just trying to offer a hopefully helpful visual illustration of how stuff is integrated on CPU silicon. Would be pretty much difficult to do this with modern CPUs. Sorry if this was annoying or vague

Note that there’s really nothing inherently slower about sharing RAM; Apple’s processors have integrated graphics and the memory bandwidth can be higher than some dedicated GPUs. Apple just uses faster memory. Some PCs are (finally) taking this approach too, like the DGX Spark boxes from nVidia.

APU: Owner of the Kwik-E-Mart

Integrated graphics is GPU alongside CPU