When two object closed to each other produces a gravitational field around it. Due to this they posses potential energy.

When the distance between two object decreases the work is done by the gravitational force. When two body going away to each other then work done against the gravitational force.

In this situation gravitational potential energy of object also changes.

Definition of gravitational potential energy :

"The work done in bringing a body of mass $m$ from infinite distance to the point in the gravitational field of other body is called the gravitational potential energy at that point".

When body is at infinite distance from other body, then gravitational force exerted on this body is zero. In this situation state body at infinite distance having zero potential energy. This energy is known as zero potential energy.