There are no known simple explanations for why nature obeys quantum mechanical laws, why special relativity is the only explanation for the phenomena seen at high speeds. And then there is the universe itself. Einstein's theory of general relativity is the only existing theory we have that guides us in thinking about physical space. So far as possible, it has been put to a variety of diverse tests and found to give an accurate picture of how gravity operates. But it asks us to also forget about common sense in the particular domain in which it works.
General relativity is the premier theory of how gravity works.
It says that space and time are a 4-dimensional 'thing' whose overall shape is dictated, nay, defined by gravitational fields themselves. If the universe could hold this particular spatial shape long enough as in Einstein's original cosmological model in 1917, a rocket could circumnavigate the universe by always traveling exactly straight ahead. Gravity has distorted 3-dimensional space to such a degree that it has seamlessly folded over itself through the fourth dimension to form a closed spatial universe. This business only sounds strange to us because we have never experienced anything other than life in a 3-dimensional world since we emerged out of the oceans 500 million years ago. This means that since we can never observe this exterior space, it lies outside science.