The way electromagnetic waves carry data is by altering the base wave. So, you can bump the amplitude of the wave a bit, or the frequency, or the phase, and so forth. Every time you do that, though, you are causing the original wave to occupy a finite band of frequencies instead of just one single frequency. (Only a pure sinusoidal "carrier wave" wave that never changes has one single frequency. The moment you change the wave from a pure sine wave you cause it to occupy a spread of frequencies.) The width of that band is called the signal's bandwidth. So, for example, your cell phone operating at nominal frequency around 2 GHz will actually produce a band of frequencies about 20 MHz wide, so for example all frequencies between 1.990 GHz and 2.010 GHz.
Very roughly speaking, the bandwidth is controlled by how many times per second you wiggle the base signal. You get a bandwidth of 20 MHz if you wiggle it up to 20 million times per second. If you wiggled it slower, you would get a smaller bandwidth, and if you wiggled it faster, you would get a larger bandwidth. So the bandwidth is directly connected to how fast you can transmit data: if you want to transmit 10 million bits/s, you need a bandwidth that is very roughly 10 MHz (this is a crude analysis).
Now here comes the crucial point: for practical (and legal) reasons, the bandwidth can't be too different from the base frequency. 1-2% or less is typical. Past that point, it's very hard to design sensitive radio detectors, and you also have the problem of adjacent channels not "staying in their lane" so they don't interfere with each other.
So for a 2 GHz signal, you can have a 20 MHz bandwidth (which is 1% of the base frequency). But if you are operating on the older cell phone frequency of 900 MHz, a 1% bandwidth is only 9 MHz, and you can wiggle your signal only about 9 million times per second -- so you can't transmit data as fast. If you are operating at "shortwave" radio frequencies of about 15 MHz, a 1% bandwidth is only 150 kHz, meaning you can wiggle your signal only about 150,000 times per second, which means far slower data speeds.