CoreFX is the code name of .NET Core's set of libraries. It contains all the libraries that start with Microsoft.* or System.*and contains collections, I/O, string manipulation, reflection, security, and many more features.
The CoreFX is runtime agnostic, and it can run on any platform regardless of what APIs it supports.
To learn more about each assembly, you can refer to the .NET Core source browser at https://source.dot.net.