It's something the left made up. It's kinda like global warming and the Ben Carson "lie". It's bullshit.
White privilege is real.
Historically, the white people in the US (So it may well be a US only thing, but I also feel it's in Australia and a few other countries I've visited) don't realize it at this point.
Let's look at history.
The number one way for people in the world to develop true wealth is by property ownership. That ownership has historically been given preference to white people.
After World War 2, as people came back to the US and started making some real money. Mostly white people were given the highest paying jobs.
Then, as people saved enough money to purchase property, there were specific loans which were given to white people and which were specifically designed to keep the loans away from black people.
As such, the wealth inequality of black people was not just "because they were lazy" as some people like to make it to be, and was in fact due to unfair and only more recently decided to be illegal.
Now, this is not to say that the black community does't have its own problems. It damn sure does, but white privilege, does in fact, exist.