The SendGrid application lets you sign the emails with your own domain on SendGrid account. Also, it improves the email delivery rate and ensures that your community emails are not ending up in spam.
To use the Sendgrid account, you need to have an account on Sendgrid. You can use Sendgrid's free version as well.
There's already a step by step guide on how to enable SendGrid app51.
Picture below shows how community emails are sent without Sendgrid app:
And it is changed to the following when Sendgrid app is enabled: