for example you have a power supply that uses 10 volts as input. if you connect a circuit that uses 1A@5 volts, there is a remaining power that goes out of the psu as heat. The efficiency is calculated by Pout/Pin. Pin=10W, Pout=5W, so the efficiency is 50%.
The SMPS uses another way. They store the remaining energy in inductors and capacitors. In the previous examle, in case of stepping down voltage, the connected circuit requires 5W. The psu does not take constantly 10W, but it takes 10W in average by switching on and off. The output is standard 5W as the capacitors and inductors keeps it alive. With this way, an efficiency of 80-95% can be achieved.
There are also step up SMPS. These can for example supply you of 15volts with an input of 10. This of course cannot be done with a linear psu.