The veil was the boundary between the world of the dead and the world of the living. It prevented the Keeper from being loosed on the world of life. The veil had many layers at different levels of the Underworld and many seals which had to be protected in order to keep the Keeper in the Underworld. The veil required a delicate balance which existed in many places, including within those with the gift and could be breached under the right conditions, allowing interaction between the worlds of the living and the dead.
In Legend of the Seeker, the veil was made by the Creator after the Keeper brought death and suffering into the world, using the Stone of Tears.