They were/are artifacts created by the Precursors. Star Roads were built using neural physics which allowed them to change mass at will (they can be kilometers thick). They could link planets and star systems together. They were also used as a weapon by a Key Mind, I'm not exactly sure how though. Supposedly they can mess up slip space travel and wrap reality. Most, maybe all were destroyed with the firing of the Halo.

Do you think it's possible some Star Roads survived the Halo firing? Maybe some outside the galaxy? Precursors were pretty talented so maybe they did traveled to other galaxies?