A bit of everything. Russian Empire turned them into an estate, granting them special rights and obligations and creating new Cossack hosts to cover its constantly growing border.

The two original hosts, Transrapid and Don, were raiders, sticking to major river islands where they couldn't be reached by the nomadic cavalrymen controlling the steppes. However, militiamen of the more sedentary Rus localities along the middle Dnieper (Cisrapid) called themselves Cossacks as well.

Ethnically their origins are a bit unclear. Sedov shows several signs of Slavs colonizing the steppes between the influxes of new nomadic tribes, but they didn't reach lower Dnieper and Don.

Post-Mongol sources covering southern Rus are scarce. Plano Carpini makes no mention of Cossacks, but he's made his journey practically right after the invasion.

The most likely explanation of their origins is that the frontiers of Rus lands (like the one given to Yegolday later) could no longer support a sedentary population and some of the locals took up brigandage, forming roving (and rowing) bands, preserving their Eastern Slavic language and Orthodox religion and incorporating some Turkic and miscellanaeous members over the time.

It is quite interesting that Cossacks used to be called Черкасы, or Circassians in Russian sources. It's quite possible that even original Cossack members included not Slavic, but heavily Slavicized formerly nomadic tribes (Circassian is an exonym). Even today you can find paired villages in Sloboda Ukraine named Russian X and Circassian X (just like you can find triplets of Russian X, Tatar X and Mordvin X in Tatarstan).

Followup question: were there any religious characteristics to the Cossack group in terms of, were they uniformly Russian Orthodox?

Is the word Cossack related to the word Kazakh? Are they the same people?

Follow-up question: when did Ukrainian Cossacks self identify separate from Russian Cossacks and why?

I wrote an answer about this question about a year ago: https://www.reddit.com/r/AskHistorians/comments/44t33r/eastern_europe_i_asked_this_during_borderlands/

Although historians have traditionally characterized the ethnogenesis of the cossacks as "nomadicized Slavs", there are some big problems with this narrative, mainly that the Cossacks as group don't actually show up in the written records at all until sometime in the 16th century, and are notably absent from the few good earlier records we have from the late medival western Eurasian steppe. More recent historical work has a different view that see the Cossacks as the product of the interaction between the Russian state and the existing semi-autonomous peasant communities. Thus the emerging Russian state co-opts informal fraternal militia organizations (who are focused in raiding their neighbors, independent of state and religion). Local strongmen are given recognition as leaders of these "Cossack Hosts" so that they can be effectively weilded as instruments of foreign policy against the Ottomans and later the central Asian Khanates.

I'm a Kuban Cossack by descent - so I'll do my best to explain.

To first answer this question correctly, you have to understand what being Russian is - there are dozens of ethnicities among "Russians," and especially so under the Russian Empire.

Cossacks were established on every border of the then Russian Empire, incorporating the two original Hosts but recruiting new Hosts where they were needed. There is no one ethnicity, since they were recruited in every region. The Zaparozhian Host in the West gave birth to the Kuban Host later on, who identified themselves sometimes with Russian and sometimes with the Ukrainian language (which is also a huge controversy). But the Circassian (not a word for Cossacks, but a distinct ethnicity) Cossacks, for example, in the North Caucauses speak their own language. Now multiply that by a dozen or so, and you have the dozen Cossack Hosts that existed up until the Russian Civil War.

So, to answer the question, they are people who happened to live on the borders, who were given mandate by the Emperor and created as an estate. They were given uniforms, lands, and a yearly stipend.

Kuban Cossacks view themselves as an ethnic group, but I'm not sure about the other groups. This is especially true after the Russian Civil War and after the Stalin-era abolition of the Cossack class. Cossacks as an "estate" class ceased to exist, so the only way to identify with a particular host is by ethnicity.