When you buy a domain, the name you buy -- such as “example.com” or “example.co.uk” -- is called the “root domain”. Your domain registrar will also allow you to use subdomains, such as “www.example.com” or “blog.example.co.uk”.
To set up a custom domain, you will need to set up a CNAME record with your domain registrar pointing to target.substack-custom-domains.com. Some domain registrars, including GoDaddy and Google Domains, only allow CNAME records to point from a subdomain and not from a root domain (this is sometimes called “CNAME flattening”). For example, on Godaddy you won’t be able to use example.com for your Substack publication, but you will be able to use www.example.com.
If you have registered your domain with one of these registrars, you must use a subdomain for your Substack -- or, in other words, you should use a domain like “www.example.com” or “newsletter.example.com” rather than “example.com”.