Siege machines are one of the enemy types you will face, the other two are Greenskins and Undeads. These are weapons built to help siege a castle and can magically control themselves without any other units operating them.
There are currently only two types of siege machines, Catapults and Battle Wagons.
They will fire large rocks at your castle wall and at your keep, they can deal massive damage if left alone and should be destroyed quickly.
Large towering Wagons that block ranged attacks and restrict your sight, they also take reduced damage from all ranged attacks so use melee attacks to take them down faster.