What it means
A crybaby is someone who starts whining, sniffling, or making a big fuss the second things don't go their way. It's usually aimed at kids, but you'll hear it for adults too if they're acting ridiculously upset over something small. It's a teasing put-down, not always vicious, but definitely meant to say they're being soft.
Usage examples
"Don't be a crybaby, it's just a board game, you'll win the next one."
"He's such a crybaby about the cold, one gust of wind and he wants to go home."
"Quit being a crybaby, mate, you only lost by one point."
"She turned full crybaby because her chips got nicked off the plate."
Where it comes from
Crybaby is a straight compound of cry and baby, built on the image of a baby crying at the drop of a hat. It turns up in English from the mid 19th century and has long been a go-to playground insult for someone seen as whiny, oversensitive, or quick to tears.