A Nexus file is a common data exchange format for neutron, X-ray, and muon experiments.
The general structure of Nexus files is explained in http://download.nexusformat.org/doc/html/user_manual.html .
Here are some specific details:
ISIS uses Nexus files for both histrogram and event data and SNS uses NEXUS for event data only. Also both ISIS and SNS use the same structure for event data. Hence there are two principal types of NEXUS files loaded by Mantid
ISIS uses two versions of Nexus files for muon histogram data:
As well as Nexus files loaded by Mantid, there is a kind of Nexus file, which is produced by Mantid, when it saves a workspace to Nexus, which is called a Processed Nexus file and is saved by SaveNexusProcessed.
RAW File an older data file format.