A documentary is a creative work of non-fiction. It documents (creates a record of) a true story. A documentary may be a video or audio recording, such as a movie or radio program.
The purpose of a documentary is to tell the story behind the news. News programs tell what has happened, documentaries explain why and how something happened. Compare, for example, the difference between the result of an election (news) with an analysis of how and why that election was won and lost. Or, between the result of a sporting event and a discussion of how and why the result happened.