"The Midlands" (with a capital M) usually means the English Midlands, an area generally considered to include the counties of Derbyshire, Herefordshire, Leicestershire, Lincolnshire, Northamptonshire, Nottinghamshire, Rutland, Shropshire, Staffordshire, Warwickshire, the West Midlands and Worcestershire.
Its major urban area is the conurbation around Birmingham.
Gloucestershire and Oxfordshire are usually nowadays considered to be part of the Midlands, albeit at the far southern edge.
The region broadly corresponds to the medieval kingdom of Mercia.
East Midlands and West Midlands are administrative Regions of England, but these do not fully cover the traditional region of the Midlands. They exclude parts of northern Lincolnshire, now part of Yorkshire and the Humber, and Peterborough, which was once part of Northamptonshire but is now included with Cambridgeshire in the East of England Region.