According to Leonard Cohen and also, like, the Bible or whatever, there's a certain chord that God particularly likes, but everyone rudely refuses to tell us what it is. Cohen goes on to describe a chord progression -- the fourth, the fifth, the minor fall, the major lift, etc. -- but any or none of those could be God's favorite chord. It's entirely likely that the chord was meant to remain, you know, a secret, but plenty of people think Cohen left us clues as to what at least he thought the secret chord was.
In fact, Cohen's secret chord may not be a chord at all. It might be a metaphor for divine inspiration, and the subsequently described chord progression could be a code leading the listener to certain Bible verses, which are indeed eerily appropriate. But the biblical David was, in fact, a musician, and Cohen's song is more about bangin' than religion, so let's assume he's speaking literally because that's also a lot more fun and involves something called the Devil's Interval.
We may not be totally clear on how God jams, but it turns out "the devil's music" isn't just a term applied by grandmas to bands with haircuts they don't like. "The devil's interval" is a chord a half-step below a perfect fifth that sounds so dissonant to our ears that it was banned in churches in the Middle Ages because it was thought to induce sinful thoughts. Here, let this metal old lady explain it to you:
Coincidentally or not, it's used in a lot of devil-themed classical music and also by Black Sabbath, Jimi Hendrix, and other people that tended to cause pearls to be clutched. According to one theory, if the devil loves this chord so much, God's fave must be the opposite: a perfectly harmonious major chord. Probably C major, which also happens to be the key of "Hallelujah."
But maybe we're thinking too hard: When Cohen recites the chord progression, he also plays it, so maybe the secret chord is just the chord he plays when he says "secret chord," which would be A minor. Or maybe it's something totally different. Go onto any music theory subreddit and ask people what they think the secret chord is and you'll get 100 different, equally compelling and confusing answers. No wonder the king was so baffled.