This post spoils events that happen in the manga, which as of now is past the anime in terms of plot quite significantly.
In the arcs following where the anime stopped we find out more and more about the truth of the world. The King was keeping the populace under control and hid them from the truth. Titans are made from a subset of human known as the Eldians who possess unique genetic traits. From the anime we already know about titan shifters, and we vaguely knew that when a titan eats a titan shifter, that titan absorbs the powers of the one they ate and can become human again. However, this information does not begin to scratch the surface of the truth.
There are a group of people known as Marleyans who revolted against their titan-using Eldian oppressors. The Eldians were beaten and retreated to the island that the show takes place on. There, they built the walls using the abilities of a great many gigantic titans thanks to the power of the Founding Titan, which Eren's father stole from the King's family and gave to Eren by making Eren a titan and allowing himself to be eaten. This power is what brought Reiner and his group to the island to try and steal Eren. Acquiring Eren's power would allow Marley to win all their wars and control the power of titans fully.
The state of Marley, with its Eldian-hating history, discriminates very heavily against the Eldians. They are force to wear armbands with 8-pointed stars on them and are treated as sub-human. They are beaten and abused without recourse and forced to live in compounds. They are considered genetically different from the Marleyans and must go through hoops to gain honorary Marleyan status. If you think that being held in camps and being forced to wear a star as a means of identification for a genetically different people sounds familiar, you would be right.
Attack on Titan is a story about the Jews fighting their Nazi oppressors, though the history of the Attack on Titan world given is fantasy and not representative of our history. If you piece together what the King on the Eldians was doing on the island and what the Marleyans are doing, and even the fact that Marley claims to be progressive with how they treat Eldians compared to other nations, it is indisputable that the Eldians are supposed to be the Jewish people oppressed and imprisoned. Betrayed by their own who sell out their friends and families in order to become honorary Marleyans, despite being scorned nonetheless by Marley and still with the possibility of being beaten and abused anyway. It is worth considering that the fantasy history about Eldia, how they used to be the oppressors and the ruling class, is reminiscent of the Nazi propaganda and the writings of Mein Kampf. Is the writer of Attack on Titan a Nazi? Probably not, but he must have done his research.
We don't know where the story Attack on Titan is going to go next, but now we can confidently say that we understand the secret behind it.