Refers to having had sexual intercourse or sexual encounters. Often used in contexts discussing one's sexual history or lack thereof. Compare with 性体験, which is a near-synonym but may be slightly more common in everyday speech.
See also: 性体験
He said he still has no sexual experience.
Whether one has sexual experience or not doesn't matter.
Compound of 性 (sei, 'sex, gender') and 経験 (keiken, 'experience'). The exact historical derivation is uncertain, but it follows a standard Sino-Japanese word formation pattern.