An embankment is any long ridge made out of soil or rock. Embankments are used, for example, to carry railways over river floodplains. Most embankments, however, are placed alongside rivers to hold them in during times when otherwise the rivers might flood. Many are called levees, from the French meaning a raised area). Very few are called 'The Embankment', the most famous being in London.
The London Embankment was built up mainly in Victorian times. There were several reasons for this. The river edge had not been raised, so more and more buildings became liable to flood. At the same time, large amounts of the river bed were used for building. For example, the new underground railway was partly built in the river bank alongside a new main sewer, and the whole lot covered over with soil.
This made the river bed narrower and so more likely to flood.
Since this time, the level of the embankment has been raised in many places, usually by raising the embankment wall, not the whole embankment. You can sometimes see this because the seats are on plinths so people can still get a view over the river when they are seated.