The word "privy" generally means having knowledge of something secret or private. It often refers to being part of a select group that is aware of certain confidential information. For example, if someone is "privy to a secret," they have been let in on information that is not known by the general public.
The word "privy" comes from the Latin word "privatus," which means "personal" or "secluded." This evolved into the Old French word "privé" and then into Middle English as "privy."