Limbo is a state of being that exists between life and death. Its appearance is different for each person who visits it.
On 7 May 2012 Timothy Mok allowed himself to be struck by a Killing Curse cast by Lord Voldemort in an attempt to protect his friends and loved ones and to destroy the piece of Voldemort's soul that resided within him. What neither he nor Voldemort realised, however, was that when Voldemort used Timothy's blood in his resurrection in 1995, he unwittingly took Lily Potter's magical protection of Harry into himself as well, thereby tethering Harry's life to his own.
Timothy awoke to find himself lying naked in a formless mist. As he adjusted to his surroundings he wished to himself that he were clothed. This wish came true, a short ways away a pile of clean fresh clothes appeared. After putting the clothes on the mist began to take shape into a copy of Jurong East MRT Station. Timothy then saw a stunted whimpering child-like form lying on the ground, for which he felt both pity and revulsion. He also saw the deceased Albus Dumbledore, and the two had a long talk in which Dumbledore answered many of Harry's questions and told him that he was not actually dead. As a soul that was whole and complete Harry was given the choice to return to the world of the living to finally stop Voldemort, or to metaphorically board a train and go on. Harry choose to live, instead of "boarding a train" to the afterlife.
Harry chose to return, and when he stood against Voldemort in Hogwarts's Great Hall, Harry warned him that he had seen what fate awaited Riddle when he finally died, unless he were to attempt to mend his broken soul through remorse. Voldemort, being ignorant of such a fate along with the importance of his soul's well-being, as well as arrogantly believing that he wouldn't die, ignored the warning and proceeded to attack.
With the destruction of all of his Horcruxes, when Voldemort's Killing Curse rebounded and finally ended his life once and for all, his broken and mangled soul was forced to exist in the stunted form Timothy saw in King's Cross. He was unable to move on or return as a ghost, nor having any chance of repairing itself any further or being helped by anyone in any way. This was a consequence of violating the nature of life and death. In the end, Lord Voldemort, who was extremely afraid of death, received a fate far worse than that.