Another way of putting it is GPUs are designed as a single instruction, multiple data (SIMD) processor. For example, this is a diagram of an execution unit in a RTX 30 GPU:
This structure is called an SM. For each SM, there's four blocks of execution units, each with 32 units that can calculate something (plus others but we'll ignore those to keep it simple). Each of those blocks of execution units can only run one instruction. So basically, one instruction will process 32 pieces of data. If you need to run two instructions, you have to run them on two separate blocks.
To contrast with a CPU, here's a block diagram of an older Intel Core part (Intel's later processors still use this design)
The bottom block is the execution group of a CPU core. If you notice, there's lots of different sub-blocks connected to a port that can do something. Each of these sub-blocks can process an instruction, meaning that up to 6 instructions can be executed at once. However, that only means up to 6 pieces of data will be processed. This processing type is called Multiple Instruction, Multiple Data (MIMD). However, note that a multi-core processor can act like a SIMD one depending on the workload.
Another thing of note is CPUs tend to spend a lot of their processing time processing
instructions, not so much the data that its working on.