We humans are like a lamp that has five lampshades over our light. Each of the lampshades is a different color and density. As the light shines through the lampshades, it is progressively changed in color and nature. It is a bitter-sweet coloring. On the one hand, the shades provide the individualized beauty of each lamp. Yet, the lampshades also obscure the pure light.
The Yoga path of Self-realization is one of progressively moving inward, through each of those lampshades, so as to experience the purity at the eternal center of consciousness, while at the same time allowing that purity to animate through our individuality. These five levels are called koshas, which literally means sheaths.
In truth, all of the levels, layers, koshas, or sheaths of our reality is only appearance, or maya…While some view maya as meaning that nothing is real, and turn this into a cold-hearted intellectual practice, others view the illusion of maya as being shakti, the creative force of the universe. In this way, the maya of the koshas is experienced both as unreal and, at the same time, as the beautiful manifestations of the universal oneness.
Anna means food. All of the physical aspects of life come and go, and are consumed by another aspect of external reality. Thus, the outermost of the koshas is called the sheath of food, or Annamaya kosha.
The next of the koshas is Pranamaya kosha. Prana means energy. It is the vital force that produces the subtle vibrations related to breath, and which are the driving force behind the physical aspect of the senses and the operation of the physical body.
The next of the koshas is Manamaya kosha. Mana means mind. It is the level of processing thoughts and emotions. It is in direct control of the operation, through the prana, of the physical body and senses.
The next of the koshas is Vijnanamaya kosha. Vijnana means knowing. It is the sheath of wisdom that is underneath the processing, thinking aspect of mind.
Anandamaya kosha is the most interior of the koshas, the first of the koshas surrounding the Atman, the eternal center of consciousness. Ananda means bliss.
Atman is the Self, the eternal center of consciousness, which was never born and never dies. In the metaphor of the lamp and the lampshades, Atman is the light itself, though to even describe it as that is incomplete and incorrect. The deepest light shines through the koshas, and takes on their colorings.
Excerpt From swamij.com Article Koshas