Explanation/Reference:
The U-SQL catalog is used to structure data and code so they can be shared by U-SQL scripts. The catalog enables the highest performance possible with data in Azure Data Lake.
Each Azure Data Lake Analytics account has exactly one U-SQL Catalog associated with it. You cannot delete the U-SQL Catalog. Currently U-SQL Catalogs cannot be shared between Data Lake Store accounts.
Each U-SQL Catalog contains a database called Master. The Master Database cannot be deleted. Each U-SQL Catalog can contain more additional databases.
U-SQL database contain:
Assemblies - share .NET code among U-SQL scripts.

Table-values functions - share U-SQL code among U-SQL scripts.

Tables - share data among U-SQL scripts.

Schemas - share table schemas among U-SQL scripts.

References: https://github.com/Huachao/azure-content/blob/master/articles/data-lake-analytics/data-lake- analytics-use-u-sql-catalog.md