What is the meaning of this sentence?
Ils viennent d'un autre pays.
Does it mean “they come from another country”?
What confused me here is “d'un”? What does it mean here? Should we use it for the sentence to be correct?
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Your translation is correct, and "d'un" is necessary.
"d'un" is the contraction for "de un". "de" corresponds to "from" and "un" corresponds to the "an" of "another".
Actually, this is a literal word-by-word translation:
"They come from an other country"
"Ils viennent de un autre pays"
and contract what has to be contracted.