A smart object is effectively a "container" layer. When in the main document it looks like just another layer that can be blended, masked etc. However double clicking it opens up a psb file which contains the layer(s) making up the smart object. On editing, then saving the psb, the layer in the main document will be updated.
The psb is saved inside your main document. (There is a type called a linked smart object that can be updated when a document outside of your main document is saved - but that is not what you have in your example above.)
So to create your own, make up the contents using normal layers/ shapes/adjustment layers etc . Highlight those layers in the layers panel and right click. Then from the menu choose "Convert to Smart object". Those layers will now appear in the layer panel as a single smart object (with the small folder symbol indicating that the layer is a smart object).
Thank you Dave.