When something is undocumented, it's not written down or recorded. When a person is undocumented. they don't have the proper records or identification that the law requires.
These days in the U.S., you're very likely to come across this word in the context of immigration. When you hear about someone who's an undocumented worker or an undocumented immigrant, it means that they were born in another country, moved to the U.S. at some point, and don't currently have the legal documentation they need to work, attend school, or otherwise live freely and openly.