It's used to indicate a person's lineage or paternity, similar to "son of" (figlio di) in English.
For example:
* Figlia di Maria: Daughter of Mary
* Figlia di un re: Daughter of a king
* Figlia di un'artista: Daughter of an artist
It's important to note that while "figlia" means "daughter," "di" can also mean "of" or "from" depending on the context.