Limbo is a state of being that exists between life and death. Its appearance is different for each person who visits it.
In May of 1998, Harry Potter allowed himself to be struck by a Killing Curse cast by Lord Voldemort in an attempt to protect his friends and loved ones and to destroy the piece of Voldemort's soul that resided within him.
What neither he nor Voldemort realised, however, was that when Voldemort used Harry's blood in his resurrection in 1995, he unwittingly took Lily Potter's magical protection of Harry into himself as well, thereby tethering Harry's life to his own.
Harry awoke to find himself lying naked in a formless mist. As he adjusted to his surroundings, he wished to himself that he were clothed, and as this wish came to him a short ways away a pile of clean fresh clothes appeared. After putting the clothes on, the mist began to take shape into a copy of King's Cross Station, Harry saw a stunted, whimpering child-like form lying on the ground, for which he felt both pity and revulsion. He also saw Albus Dumbledore, his deceased mentor, and the two had a long talk in which Dumbledore answered many of Harry's questions and told him that he was not actually dead. As a soul that was whole and complete, Harry was given the choice to return to the world of the living to finally stop Voldemort, or to board a train and "go on". Harry chose to return, and when he stood against Voldemort in Hogwart's Great Hall, Harry warned him that he had seen what fate awaited Riddle when he finally died, unless he were to attempt to mend his broken soul through remorse.
With the destruction of all of his Horcruxes, when Voldemort's Killing Curse rebounded and finally ended his life once and for all, his broken and mangled soul was forced to exist in the stunted form Harry saw in King's Cross, unable to move on or return as a ghost, nor does it have any chance of repairing itself any further or be helped by anyone in any way.