France once had many provinces, such as Burgundy, Brittany, Anjou, Normandie, but they were often rebellious and difficult to govern. Napoleon eliminated the provinces as political entities and replaces them with departments (départements). There are 101 departments today. Each one has a "capital." Nantes, for example is the "capital" of the Loire-Atlantique Department. The prefecture is the building where you go to find the police, get a resident permit, register a birth etc.

It's specific to a particular country's naming system for different 'regions,' as far as I know, provinces in Canada, prefectures in Japan, and states in the US...not an exhaustive list of course.