The XNA Framework resides in the Microsoft.XNA.Framework namespace. It adopts a layered architecture to provide services.
There are four layers defined. From lowest to highest these are:
- Platform
- Core Framework
- Extended Framework
- Games / Application
The lower three layers are implemented by Microsoft and the upper layer (Games/Application) is a placeholder layer. What I mean by that is that the Games/Application layer represents the code that you write as part of your game or 3rd party/community reusable components that you use.
Looking in to each layer we can see that they each provide a set of classes that wrap up some set of functionality:
Platform
This is the lowest level layer and represents the native API's that get wrapped by the Core Framework Layer. Currently the low level Direct3D, XACT, XINPUT and XContent are part of this layer.
Core Framework
This is next layer up from the Platform layer and provides higher level managed abstractions of the low level services. It contains classes for Graphics, Audio, Input, Math and Storage.
Extended Framework
This layer sits on top of the Core Framework layer and provides classes that define an Application Model. It also contains classes that interface with the XNA Content Pipeline.
Game / Application
As I mentioned this layer is really implemented by you and the community. It is where your game logic, content and components written by the XNA community live. Your code will mostly use the Core Framework layer and the Extended Framework layer to get work done.
Since it is a layered model you can choose which services you use and which you don't. If you have your own Math routines or Application model you could potentially replace the stock versions.

XNA Framework / Architecture
Al-Arabi
Jamie Thomson
CK-INLINE
gteddy
GrahamY