Natural down insulation is made of the very light, fluffy bird plumage (in most cases geese, but occasionally ducks or other birds) that acts as a natural insulator. Synthetic sleeping bags, on the other hand, have insulation made from any number of man-made materials. Synthetic insulation has all kinds of fancy names, but it’s basically made of very fine plastic strands.
The advantage of down is that it has an excellent weight-to-warmth ratio. As a result, down sleeping bags are highly insulated while also being lightweight. Down is comfortable too, but its downside is that it loses its ability to insulate when wet. Synthetic sleeping bags retain more of their insulating properties in wet conditions and tend to be less expensive than down bags.