Console application is a specially compiled windows executable which is working with in/out streams and (usually) do not have any graphical interface.
Few examples: cmd.exe, powershell.exe, sh.exe, dism.exe, java.exe (but not javaw.exe), python.exe, telnet.exe and so on.
These applications may be runned in the terminals only (TerminalVsShell). Terminal accepts user input, sends it to application input stream, reads application output and displays it in its own window as text.
Few terminal examples
One more note. Terminals may be ‘local’ and ‘remote’. Remote terminals connect to remote hosts to run applications remotely. ConEmu is a local terminal (also known as console window).