AJAX is a technique for building fast, dynamic web applications by exchanging small amounts of data with the server behind the scenes without reloading the entire web page. It uses a combination of technologies including JavaScript, XML, HTML and CSS to retrieve data from the server asynchronously in the background without interfering with the display and behavior of the existing page. The XMLHttpRequest object plays a key role by providing a way for JavaScript to make HTTP requests directly to a web server, enabling asynchronous data retrieval and manipulation of page elements without reloading.