Pi-hole is open-source software that blocks advertisements and trackers for an entire network through DNS. It acts as the DNS server of your network and refuses requests for domains on blocklists, so every device behind it is covered without installing software on each one. Pi-hole includes a web interface, a REST API, device groups, allow and deny lists and a query log, and it can also serve as a DHCP server. You install it yourself on a Raspberry Pi, an old PC, a virtual machine or in a Docker container.
Pi-hole is developed by Pi-hole, LLC, a company in the United States, and is published under the European Union Public Licence according to Wikipedia. Because you run the software on your own hardware, DNS queries stay inside your own network unless you choose an external upstream DNS provider. That leaves you in control of where this data goes and which jurisdiction applies to it.