This phrase is often used in modern contexts to refer to the end of days when Jesus returns at Armageddon to defeat evil once and for all. This understanding doesn't quite capture the full picture of what this phrase meant to ancient Jewish and Christian people. To better understand what the Day of the Lord is, we have to go back to the book of Genesis.
Instead, Jesus came to conquer the underlying issue—the sin of humanity that had been leading them astray since the Tower of Babel. Jesus took on the full power of sin and evil when he died on the cross, allowing evil to fully overcome him only to defeat its only weapon, death. In doing this, Jesus gave his followers power over sin and death through the forgiveness that he offered.
But evil still exists in our world, and Jesus promised to return for the final Day of the Lord. This is the Day of the Lord that the book of Revelation talks about, where Jesus will return and destroy evil completely, freeing our world from corruption and bringing about the good and perfect world that God had planned for us from the start.