If you have a recent model router you're probably using 5GHz bandwidth Wi-Fi already for your wireless connection to the internet, but some older devices, aren't supporting this as of yet and tend to just offer the traditional 2.4 GHz frequency. On consoles it's always recommended to go for hard-wired Ethernet connection for the best download times and multiplayer performance (especially on PS4), but if Wi-Fi is your only solution you better go for the stronger, more stable frequency (as long as there are not too many connections, walls or too much distance), and this wasn't possible on PS4 so far. Now this is apparently about to change for PlayStation users with the PS4 Slim (and supposedly the PS4 Neo as well), as it's reportedly getting 5GHz Wi-Fi support at long last.
Sony may make this official next week during the PlayStation Meeting in New York, but as it happened already with the PS4 Slim model itself, users with access to the slim console are providing proof of this new feature. The following pictures posted by shortmaneighty2 on Twitter (and via >NeoGAF) show the new "Wi-Fi frequency band in use" info on the updated "View Connection Status" screen from the console's menu, and then the new 5GHz range being described on the instructions manual.
Both Xbox One and Xbox One S support 5GHz already.