The local effect
A
private window generally avoids keeping that session's browsing history and clears its cookies and site data when the private session ends. It is useful on a shared computer when you do not want later users to see ordinary browsing history or stay signed in through those cookies.
The limits
The website you visit still receives a connection and may know your account if you sign in. Your employer, school or internet provider may still observe relevant network activity. Downloads and bookmarks can remain on the device; closing a private window does not erase a file you saved. Mozilla's
private-browsing explanation separates these effects clearly.
A practical choice
Use a private window for temporary local separation, then close every private window and check downloaded files. Use a guest operating-system account or separate device when you need stronger separation from other users. Do not treat private browsing as a shield against phishing, malware or a site you intentionally told your identity to.