Conspiracy = a group of people working together secretly (maybe also illegally or illegitimately) to achieve something
Theory = model of the reality, based on observations, indicators or prognosis
Example: When parents talk about Santa to their children, it’s a conspiracy. Of course no illegal or illegitimate one, but it’s in fact collectively and secretly. Now what if the children doubt that Santa exists? They question their parents’ conspiracy. So they have a theory about their conspiracy and the children can be called conspiracy theorists. And for these children, it’s actually a compliment.
Another example: If prices at gas stations increase comprehensively shortly before holidays, and you think that oil companies deliberately want to maximize their profits, you would be a conspiracy theorist.
=> There are many “conspiracy theories” in our everyday life, but we usually don’t notice them. Only if you think about it.