To travel in a convoy is to be escorted by a group of protective vehicles. If you are a teenage rock star with millions of fans, you probably need a security convoy just to go visit your grandmother.
If the President visits your town, you may see a huge convoy of secret service vehicles, limousines, and police cars. Ships can also travel in convoys, with those carrying valuable items surrounded by warships. As a verb, convoy describes the act of traveling together, like when your family and other families convoy to a camp ground, driving in a group, making stops together, and waving to each other on the highway.