There's a handy thread here with a bit more explanation than one usually gets. From it:
Square waves are actually made up of an infinite series of sine waves (sum of odd multiples of the harmonic), that gradually drop off in amplitude as they get smaller. Since materials with mass and elasticity oscillate and do not just assume some spatial position in proportion to an applied magnetic force, I believe that the graphs show the degree that all of those frequencies don't happen exactly when they should because the material has all of those pesky features like mass, inertia and resistance. So the distortions show something like the lack of perfect speed and responsiveness of the speaker material across many frequencies.