When you're in thrall to someone, you are under their control in some way. If you're being held as a hostage, you're in thrall to your captor.
You can be in thrall to anything that holds you captive or controls your thoughts or actions, like an addiction, a disease, or a cult leader. The Old English word that thrall comes from literally means "slave" or "servant." Another word with the same root as thrall is enthrall, which is sort of a friendlier version of the same idea. If you're enthralled by someone, you're captivated or fascinated, rather than "held in bondage."