A palette is a range of colors. It is also the board that artists use to hold and mix paint. Picture Picasso in his blue period: He is holding a palette on which you see a limited palette of blue tones.
The meaning of the word palette has extended beyond actual colors to include figurative colors. A musician can use a palette of tones and modes. Either way it is a limited selection from all things available. Don't confuse this word with the homophone palate which refers to your sense of taste. Both words come to English through Old French but have different Latin roots.