Think about a deal or proposition or agreement that seems really good.
A "catch" is a hidden, unpleasant surprise that makes the deal bad.
For example, when I was a kid, in Chicago camera stores you would see signs that said in huge letters
CAMERA $9.95
And in tiny letters underneath:
Case $29.95
Sold only with case
So, you thought you could buy a nice camera at a very price. The catch was that you also had to buy a case at an inflated price.