From the Wikipedia page 
A province is almost always an administrative division, within a country or state. The term derives from the ancient Roman provincia, which was the major territorial and administrative unit of the Roman Empire's territorial possessions outside Italy. The term province has since been adopted by many countries, and in those with no actual provinces, it has come to mean "outside the capital city". While some provinces were produced artificially by colonial powers, others were formed around local groups with their own ethnic identities. Many have their own powers independent of federal authority, especially in Canada. In other countries, like China, provinces are the creation of central government, with very little autonomy.