Historical games are set during real historical periods, though may be based on fictional or fantastical events. Those which diverge greatly from history are best described as fantasy, though mythical might better describe a setting such as Ars Magica where a close eye is kept on historical reality.
However, historical settings provide a wide range of backdrops for all types of genres. The original Cthulhu stories would today be regarded as historical - mostly 1920s America. The Baroque Cycle or the Hornblower series are also historical, the former with a touch of fantasy.
The type of technology and skills available to characters in a historical period are defined by the setting's Technology Level, which ranges from 0 (stone age) up to 8 (modern day) or higher.
The Stone Age can be difficult to roleplay, though character generation is going to be very simple. Skills would be limited to survival, hunting and crafting with not much else. Shamans may have some 'mystical' powers (which may be little more than headology, and a good knowledge of nature), but there're few things for characters to do.
This period does cover hundreds of thousands of years, if not millions, but the differences over this time period are slight from a story perspective.
Covers the period from about 3000 BC to around 700 BC in Europe (or earlier in the Far East), and stories set in such a period will be set in the earliest cities. The Bronze Age sees the rise of agriculture, the building of cities and long term social structures not present during earlier periods.
Unlike the Stone Age, there are plenty of story opportunities for characters, from politics to war and adventure.
Technological skills will not be available, and knowledge of the world will be shaped by superstition. There are plenty of cults to add flavour to such campaigns.
The Iron Age sees the rise of the Roman Empire, Egypt and the Far East. Changes from the Bronze Age are incremental as far as stories go, with better communications over larger distances, and bigger buildings and cities allowing for more complex city based campaigns.
Skill sets are similar to the Bronze Age however.
Probably the most common period for fantasy campaigns, it is mostly dominated by the rise of monotheistic religion and the domestication of the old tribal groups in Europe. Travel is still limited, and weapons and armour are getting better, but don't differ greatly since earlier periods until late in the Medieval.
It does of course see the rise of the Knight, at least in Europe, and the ideals of chivalry.
From about 1450 onwards in Europe, the Renaissance saw the birth of science and modern technology. The advent of gunpowder weapons, art, culture and trade all combined to form a political environment not seen before.
Money, not breeding, was beginning to be seen as an important symbol of status, and new horizons were being opened up in the New World and Far East. By making characters merchants, or part of a merchant's retinue, adventures can cover politics, war and adventure with equal ease.
Skill sets are similar to the medieval period, with Natural Philosophy still being used instead of Science to understand the world. Cities are growing big enough, and complex enough, to easy set whole campaigns in a single one, and are suitable for Thieves World or Farfard and the Grey Mouser type stories.
If the Renaissance was the birth of Science, so the Enlightenment is its coming of age. Yags treats periods prior to TL 5 (assumed to be early 18th century) differently to those that come later. Before TL 5, knowledge about the workings of the world is treated with the Natural Philosophy skill. From TL 5 onwards, Science becomes available and provides access to Physics, Biology and Chemistry as separate skills.
Exploration, politics and war are all respectable past times for PCs. This is also a good age to add in various alternative technologies - steam punk for example.
From the late 19th century to the end of World War II, the Mechanical Age covers the rise of the machine and industrialisation on a global scale. Science is here to stay (we hope), cheap air and sea travel become a reality for adventure in distant lands, and there's even ready made bad guys in the form of the Nazis.
Except for the type of equipment available, there's very little difference between TL 6 and the modern day unless you are looking at scientific and technical skills.
From the end of World War II until about 1980, this charts the rise of the computer, the atomic bomb and the cold war. Perfect for espionage games. Yags treats this period as the modern day.