A derivative work is one that adapts or modifies an existing work, drawing on that work for its substance and general material.
A film based on a novel is a derivative work of that novel. An action figure based on a character from an original film is a derivative work of the film.
A derivative work may or may not be copyrightable on its own, depending on how much original material it contains, and whether permissions were granted for the copied material. The U.S. copyright office says “To be copyrightable, a derivative work must be different enough from the original to be regarded as a new work or must contain a substantial amount of new material.”
For example, Alfred Bester’s novel The Stars My Destination is inspired by and modeled after Dumas’ The Count of Monte Cristo. It is arguably a derivative work of that older novel. However, Bester's book clearly has sufficient original material to qualify for copyright protection on its own, and further, is original enough that it would not infringe copyright in Dumas’ book, were that book still protected by copyright. On the other hand, an independent screenwriter's new screenplay featuring the "Rocky" character made famous by Sylvester Stallone was found to be clearly a derivative work, in which no copyright could be had.