It pulls a summary of the blocks from normal Bitcoin nodes. If an address of the wallet is in the summary, then the wallet pulls the entire block. This is fast, because only a few blocks need to be pulled. And it is private, because in each block are 2000+ transations, and it is not easy to determine which one you were interested in.

Bitcoin Optech

Compact block filters

Compact block filters are a condensed representation of the contents of a block that allow wallets to determine whether the block contains any tran...

BIP158: Compact Block Filters Deep Dive

What even is Golomb-Rice Coding?