Macbeth is considered a "tragedy" play, even though it is technically also a "history" play, as Shakespeare based it on real people and events from a few hundred years before his time (more on that later). Shakespeare wrote poetry (mostly sonnets), and plays (a combination of poetry and prose) that are identified as tragedies, histories, and comedies.
The term "tragedy" originated from the Greek and translates to "goat song". Some historians believe a goat was awarded to the best choral performance and others think this had to do with the performance around goat sacrifices.
"Tragedy" the word is defined as
an event causing great suffering, destruction, and distress, such as a serious accident, crime, or natural catastrophe.
In theatre and literature it's described as
a play dealing with tragic events and having an unhappy ending, especially one concerning the downfall of the main character.