The CPU is really smart, but each "core," can only do one thing at once. 4 cores, means you can process 4 things at the same time.

A GPU has thousands of cores, but each core is really dumb (basic math, and that's about it), and is actually slower than a CPU core. Having thousands of them though means that certain operations which can be split up into thousands of simple math calculations can be done much faster than on a CPU, for example doing millions of calculations to calculate every pixel on your screen.

It's like having 4 college professors and 1000 second graders. If you need calculus done, you give it to the professors, but if you need a million simple addition problems done you give it to the army of second graders and even though each one does it slower than a professor, doing it 1000 at a time is faster in the long run.