Has your favorite team won every single game they've played this season? Then they're unbeaten — they have not been defeated even once.
You can describe yourself as unbeaten if you've won all your chess matches since you started playing, or brag about your debate team's unbeaten record if you've prevailed in every debate. Unbeaten can also be used to mean "not hit, pounded, or physically beaten down," but it's most common to find this adjective describing victorious sports teams and athletes.