Meteorites can be found on the surface or underground of the overworld, and vary in size. They generally contain a Sky Stone Chest which can contain various ingredients required for advanced technology. You can use a Meteorite Compass to locate meteorites near you and as you explore.
Meteorites are the only natural source of sky stone.
A compass which points to the nearest Sky Stone in the current world, it has a max range of roughly 2,700 blocks.
If it is spinning rapidly it means the current chunk your standing in contains skystone. If its spinning slowly, it means that there is no meteorite in range, this usually means you should do some more exploring, it will find one as new terrain is generated, or in some cases such as the nether you can use skystone blocks to control the compass since skystone doesn't spawn naturally.
Sky Stone is a blast resistant dark stone block found in meteorites that have impacted the surface in the distant or semi recent past. Their origin is unknown however they appear to contain remnant of technology from another place.Sky Stone is extremely hard and requires at least a diamond pick to mine it, the processed variants can be removed with any pick however.