There's nothing new about it at all. It's done for
maintainability and modulatory. Most large libraries are done like
this, whether Javascript or otherwise.
When the library is "built", the files are combined.
Sometimes some macro substitutions, etc. are made at the same time.
For other types of software, it might be compiled and linked to create
an executable.
There are various "build systems" that can be used, some
in Javascript, some in other languages, or compiled code.
"make", "rake", "grunt",
"gulp", etc.
The same build system might also run other tools to minify,
prettify, etc. etc. etc.
When jQuery is published, they do the "build" for you and
provide simple drop-in single files. Sometimes there is some custom
online build (like for jQuery UI) that you can use to pick and choose
which parts you want. You can always do you own custom build if you
clone the repo and use the needed tools.