What is Reverse DNS?
Reverse DNS, or reverse DNS resolution (rDNS), is the mapping of an IP address to a domain name, using the Domain Name System (DNS).
The process of determining the IP address associated with a domain name, is known as forward DNS resolution. Therefore the inverse of this process is known as reverse DNS.
Why is it important?
"Every Internet-reachable host should have a name"
and that such names should match with a reverse pointer record (rDNS).
Many email providers have embraced this specification, and use it in their determination of whether or not a message is considered to be Spam. Therefore, in order to reduce the likelihood that your email messages are marked as Spam, you should implement a reverse DNS record.
How do I set it up?
Reverse DNS records must be setup at the web host level. So whichever server hosts your domain, the company who owns that IP address should be able to create a rDNS record. Typically this is done through the network options in your web hosting admin control panel. If you're unfamiliar with this, it's best you contact your hosting support to ask them how to set it up.
How can I test that it's setup properly?
Reverse DNS is one of many things that are validated by the Winning Email domain checkup tool: https://winning.email/checkup