Your credit report holds all of your personal financial information all in one place. It is used by all lenders to instantly determine whether they want to have you as one of their customers. It details how much money you current owe and, more importantly, whenever you have been able to keep up those payments.
The report also lists your name, address and details on if you have been declared bankrupt in the past, or been taken to court for financial matters or even if you had had your house repossessed in the past. Basically every single financial detail about you is on this report. The lenders use all this information to generate a score and they use this score to decide whether or not to lend you the money you are asking for.
This score is generated by assigning a certain amount of points for pieces of information on the credit report, such as payment history, current debts etc. They will also take into consideration information that was given on the application form such as your income and whether you already have accounts with them or not.
It is important to realize that different lenders will have a slightly different scoring method and points total, and there is also no way for you to know what that total is for each lender. The information on why they have denied you is also not available to you so it is something you need to be prepared for if you do get refused credit.
It is therefore important that you put yourself in the best position possible and regularly check your credit report. It should also be noted that different credit report companies may show a slight difference in information, as some lenders release financial details to some quicker than others, so it would be worth checking your score through 2-3 credit report companies in case something is showing up on one and not the other.