Conjugates of a number are numbers that always appear as roots of a polynomial (where coefficients are of certain type) when the first one appears as a root.
When we are talking about polynomials with real coefficients, complex roots always appear in pairs and the roots are conjugates of each other. Therefore we say a + bi and a - bi are conjugates over real numbers.
With the same idea you could call √2 and -√2 conjugates over rationals because if you have a polynomial with rational coefficients having one of them as a root, the other one is also a root and we would say that √2 and -√2 are conjugates over rational numbers.
Historically complex numbers were discovered when trying to solve cubic equations. It was noticed that solutions of a cubic equation given by the cubic formula sometimes gives real roots using an expression containing square roots of negative numbers. Treating √-1 as an imaginary number i would then allow one to simplify the real solution. Sometimes cubic equations have only one real solution which means that i doesn't get eliminated entirely. Then someone eventually noticed that these non-real solutions seem to always appear in pairs and later someone started calling the solutions conjugates.