Exploratory data analysis (EDA) is the process of analyzing and summarizing data to gain insights and understand its properties and relationships. The key steps of EDA in Python include importing libraries like pandas, numpy, and matplotlib, loading data using pandas, calculating descriptive statistics using methods like describe(), visualizing data through plots and heatmaps, and identifying correlations using the correlation matrix and heatmap. The goal of EDA is to uncover patterns, trends and relationships in data to guide further analysis without formal statistical testing or modeling.