A simplified answer (MO theory) is that the orbitals of the atoms come together to form molecular orbitals.
Much like classical waves, the atomic orbitals (wave functions) can then interfere constructively or destructively.
Considering, say, H2, your two atomic s-orbitals come together constructively to form a σ orbital,
where you have increased density between the two atoms (s1 + s2 -> σ) - thus it's called a bonding orbital.
But they can also come together 'destructively' to form a σ*, where you have a decreased density between the two atoms (s1 - s2 -> σ*), hence anti-bonding.
The σ orbital is greater than zero everywhere (because the s orbitals are), whereas the σ* is zero (= has a node)
So this tells us that anti-bonding orbitals are usually higher in energy than the corresponding bonding orbitals. Which is true. (and good news for chemistry)