Yoga considers us to have not just the physical body, but five bodies in all. This knowledge has come from countless spiritual aspirants having the same, or similar, experiences of their different bodies, and relaying this knowledge down through the ages.
These bodies appear to slot one within the other, starting with the outer body, which we know as the physical body. Often, we mistakenly believe that this body, our thoughts, feeling, etc, are the sum total of us. This body is our vehicle that we use to travel in through a lifetime. After death, it decays, we shed it, although a few functions continue for a short time after we die.