ClaimsPrincipal is a collection of ClaimsIdentity. I often think of ClaimsPrinciple as the Identity (The principle in the situation). It could be a user in your app.
When a user is signed into your app it’s possible for the user to have multiple ClaimsIdentities. This could be details like both a Passport and a driver’s license.
Inside the Passport (A ClaimsIdentity) you can have multiple Claims like FirstName, LastName, Address, PassportNo, Birthplace, DateOfBirth, etc… and inside the driver’s license, you have other multiple claims as well.
Common to them both is that they identify the same ClaimsPrincipal in your app.