Sexual arousal refers to how we as an individual respond to any kind of sexual stimulation. In the classical understanding of sexual response, sexual arousal usually comes fast on the heels of sexual desire (so first we want sex, or want to feel sexual, and next we begin to feel turned on). It's not always that easy or linear, but researchers, educators, and therapists have all found that it can be helpful for people struggling with sexual response to try and separate these experiences at least to shed some light on what's working for them and what isn't.
Sexual arousal may be something that we, or others, can observe happening in our bodies, for example increased heart rate, parts of our skin getting flushed, increase in lubrication, changes in how our skin and bodies feel to the touch (some things get harder, some things get softer), our breathing patterns may change, and our sensitivity to stimulation may also change (so we may become more aware of certain kinds of touch). Sexual arousal is also something that happens in our minds in a way that can't be objectively observed. So sexual arousal may be reflected in what we are thinking or what we are anticipating coming next and how that anticipation feels.
Sex researchers have long struggled to define and measure sexual arousal in a meaningful way. For example, they have ways of measuring increased blood flow to the genitals, something that researchers have decided is an example of sexual arousal. But that is a physical response, and when it happens to someone that individual may or may not experience it as being sexually aroused. So researchers have to measure what's happening in the body and also ask the individual what's happening in their mind, how turned on are they feeling?
This ends up being a pretty artificial way of understanding sexual arousal, but it remains common practice. It's worth noting that many studies have demonstrated that even when a physical response "looks" like sexual arousal to researchers, individuals will often report that they don't feel particularly turned on. In other words we don't really know if sexual arousal is primarily physical or emotional or cognitive, or always all three. And we certainly can't say that it is the same for different people.
Instead, from the perspective of someone who wants to feel turned on, or sexually aroused, we might begin to define sexual arousal by asking that individual to consider all the ways that sexual arousal may look, feel, taste, smell, and sound for them. And if you are interested in having sex with someone else, or many others, and their sexual arousal is important to you, then you can ask them what sexual arousal feels like.