The European Pulsar Timing Array (EPTA) and Indian Pulsar Timing Array (InPTA) collaborations have measured a low-frequency common signal in the combination of their second and first data releases, respectively, with the correlation properties of a gravitational wave background (GWB). Such a signal may have its origin in a number of physical processes including a cosmic population of inspiralling supermassive black hole binaries (SMBHBs); inflation, phase transitions, cosmic strings, and tensor mode generation by the non-linear evolution of scalar perturbations in the early Universe; and oscillations of the Galactic potential in the presence of ultra-light dark matter (ULDM). At the current stage of emerging evidence, it is impossible to discriminate among the di fferent origins. Therefore, for this paper, we consider each process separately, and investigated the implications of the signal under the hypothesis that it is generated by that specific process. We find that the signal is consistent with a cosmic population of inspiralling SMBHBs, and its relatively high amplitude can be used to place constraints on binary merger timescales and the SMBH-host galaxy scaling relations. If this origin is confirmed, this would be the first direct evidence that SMBHBs merge in nature, adding an important observational piece to the puzzle of structure formation and galaxy evolution. As for early Universe processes, the measurement would place tight constraints on the cosmic string tension and on the level of turbulence developed by first-order phase transitions. Other processes would require non-standard scenarios, such as a blue-tilted inflationary spectrum or an excess in the primordial spectrum of scalar perturbations at large wavenumbers. Finally, a ULDM origin of the detected signal is disfavoured, which leads to direct constraints on the abundance of ULDM in our Galaxy.