Danny's imaginary friend Tony in The Shining is actually someone surprising, as revealed not in the film, but in Stephen King's original book. In Stanley Kubrick's iconic film adaptation, Danny Torrance refers to Tony as "a little boy that lives in my mouth," and Tony shows visions to Danny of things that have happened and things that will happen. Tony is sort of presented as Danny's way of guiding himself through the various information he receives via his powerful psychic abilities.
Late in the film, Tony seems to take over for Danny after the little boy is traumatized by his encounter with the woman in Room 237, telling Wendy Torrance that her son is no longer present, and speaking in the weird croaky voice Danny used previously when talking as Tony. He eventually snaps out of it, but for all intents and purposes, it appears that Tony was indeed imaginary, and just an invention of Danny's psyche to help him cope.
However, as with many aspects of The Shining movie, Tony's characterization is quite different than it was in King's classic novel. King's prose makes Tony's true nature quite clear, and it adds an all new layer to an already very complex story.
The Shining: Danny’s Imaginary Friend Tony Is Danny's Future Self
Near the end of Stephen King's The Shining book, it's revealed that Tony is actually Danny Torrance's future adult self. It's also revealed that Danny's middle name is Anthony, explaining why exactly Tony is called that. The reveal makes a lot of sense, as it's established that Danny's "shining" powers allow him to see past and future events, and if that's the case, that would mean that his future self might in fact be sending him visions of those future events back, in a sort of stable time loop. The future Danny knows what needs to happen for him to survive the Overlook, and facilitates that.
Notably, this reveal isn't reflected at all in the recent Doctor Sleep movie, which stays in line with the Stanley Kubrick version of The Shining. The plot point was adapted into the 1997 miniseries remake of The Shining though, which was written and produced by King himself. Danny sees Tony as a person, and in the final scene showing Danny's high school graduation, Danny is played by the actor who'd previously been seen as Tony. Notably, this epilogue scene wasn't found in King's book, and actually sees the ghost of Jack Torrance appear to Danny as he graduates, seemingly now at peace.