Boring explanation: they are the Construction Set or the game engine.

Alternative explanations: Perhaps they are in fact the closest thing the setting has to true all-powerful gods? Perhaps they existed before even the aedra and daedra? Or, perhaps they are the foundations of reality, the building material used to build whole gods and planets? Maybe they are the flesh or the eyes of Akatosh himself?

The scrolls are just..... scrolls from what I understand. They can tell the future in their writing but that's about it. If anything they would have been tools created by the gods. Artifacts. Maybe even tools used by the gods and either given or lost to the world.

They also record history.

They are just normal scrolls, but talking about them could get very confusing. As the orc in the Winterhold collage says, it could take a month to talk about them. Taken from another NPC, the Scrolls are both real, but not real. They predict the future but also predict different futures and separate pasts. They are as old as time itself, and exist all throughout time.

BUT they DO have power! *SPOILER ALERT* In Skyrim, near the end of the main quest, Paarthurnax tells you that to learn the Dragonrend shout, you'd need to go back in time. How? Using an Elder Scroll. Once you retrieve the Elder Scroll, you come back to the Throat of the World, read the scroll, it starts to glow, then you go back in time and view the first defeat of Alduin as it happens.

The scrolls are greater than the Aredra and the Daedra. Not even a god could hope to alter them.

Also, it is my recollection that the moth priests gradually go blind from reading the scrolls.