There is an actual field designated as "industry" such as working in a specialty field such as manufacturing, although as mentioned it can mean just about anything, it would depend on the context of the discussion. Think about the automotive industry, for example.
Here is a definition of "industry".
Industry
Industry refers to the commercial production and sale of goods. Industrial companies make tangible items to sell to the public, government or other entities. They create products where no product existed through manufacturing processes. They build factories to create these products and hire engineers and scientists to design new ones.
http://smallbusiness.chron.com/definition-industrial-workplace-10039.html
Of course people say things like working in the movie industry. So again, look for context, are they talking about working in an industrial job, or just referring to a particular generic field?