They have a rich culture of their own, but their catlike appearance makes them outsiders in human-dominated regions.
Khajiit come from Elsweyr and are mostly found in the Skyrim region within a single traveling merchant caravan. Very little is known about The Elder Scrolls' Khajiit, and encounters with them in Skyrim are few and far between. One such story, a confession from a Khajiit merchant, is perhaps Skyrim's most disturbing bit of lore. While many of these readings are complex mythology breakdowns or in-universe gameplay hints about the world, others are simple tales.
The Elder Scrolls V: Skyrim's deep in-game history is told to players through books and notes scattered throughout the world.