Wormholes like the one the crew used in "Intersteller" is one of the few physics phenomonons that doesn't have any observational evidence to support it. It is strictly theoretical but an incredibl plot device for a science fiction action thriller.
Wormholes are essential shortcuts through space. An object with mass will create a divot in space or in otherwise stretches, folds, or distorts space. Wormholes are folds of the fabric in space (otherwise known as time) connecting to very long distances in space. Therefore create a gap that space explores can go through and be able to travel a extremely large distance in a very short amount of time.