Let's learn a little bit more about what a payload is. When I say the word payload, all that really means to you is that it's a way to perform an exploit. It's an exploit module. That's the way to think about. That's the Metasploit terminology if you will.
We have different types of modules. We have Singles, Stagers, and Stages. A Single module is one that's just stand alone. It's basically self-contained. It doesn't need any other components. But if we have a Stager, what that's doing is trying to stage a connection between the callee or your Metasploit instance and the victim machine. We think about it as a way to make the connection as part of the overall exploit.
Lastly, we have Stages which are the pieces of the payload that are downloaded by the stagers themselves. If I'm building a network connection, reverse TCP, for instance, or a Meterpreter shell or HTTP connection. That's what the Stager does. What the Stages are, the individual pieces that are needed to build that connection up.