What's the difference between cloning and copying a git repo?

Cloning a repository gives you a copy of that repository and configures the original repository as a remote.

Copying a repository just gives you a copy of that repository. (Though you can of course just add the remote definition afterwards via git remote add.)

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Copying a repository copies its .git/config file, and thus its remotes. Cloning a repository does not copy the config file, and thus the remotes are not shared. (The repository that was cloned from is set as the origin remote in the resulting clone.)