The Harlequins are part of the Aeldari, or Eldar, race.
Separate from their Asuryani and Drukhari kin, their purpose is to protect and maintain the Black Library, a vast collection of knowledge hidden inside the Webway - the Eldar realm used as a tunnel through realspace.
Worshipping the Laughing God, Cegorach, they keep the memory of the incident known as the Fall alive through performances. During the Fall, the Eldar society accidentally birthed the Chaos god Slaanesh through their over-indulgent and excessive lifestyles. Almost all the Eldar gods were consumed by Slaanesh, but the Laughing God somehow escaped, and it is this elusiveness with which his followers also operate.
On the battlefields of Warhammer 40k, these warriors wear brightly coloured clothing - often with diamond patterns - and tend to be fairly few in number. Each harlequin in a troupe can wield powerful exotic weaponry, and their agility is unparalleled, allowing them to dodge and leap over their foes in a way which looks as much like a dance as it does a battle.