The Sectopod is a huge ADVENT walker. It is extremely tough, with 24-40 HP and 4-6 armor, difficulty dependent. They are late-game pod leader units, appearing in August (or earlier on Legend). They take up 4 squares on the Battlescape grid.
Sectopods have good aim, and can improve it by using their High Stance ability, a free action that makes it taller, granting it a height advantage. Their high damage Sectopod Cannon hits for 10-11 damage and can fire twice per turn.
Sectopods can launch an attack called the Wrath Cannon, a devastating attack that deals 9-12 damage and destroys cover, but take one turn to charge up. They also have Lightning Field, a melee-range area of effect attack that deals 7-9 damage. Sectopods have no qualms about moving through buildings and obstacles to clear a line to your soldiers, even in high stance, which only increase the damage they can do to buildings.
Explosives and acid weapons greatly help to remove armor, and AP rounds make its armor mostly irrelevant. Shredder and Rupture are very useful abilities, with a Rupture shot both shredding armor and increasing all damage done.
A Psi Operative can use Stasis to freeze it for a turn, but will also stop it from taking any damage. The Specialist's Haywire Protocol can disable or even control it for a few turns (both are Achievements). Grenadiers with Frost Bombs can also disable it, but for one turn only.
Being a robotic unit, Bluescreen Rounds and EMP Bombs are also very useful weapons against Sectopods. Both of these weapons will not only damage a Sectopod, but will reduce its hack resistance, making a subsequent Haywire easier. Gunslingers should abuse both Bluescreen Rounds and Rupture for massive damage output - a single Fan Fire with Bluescreen Rounds and a prior Rupture shot will mean certain destruction for the Sectopod, even on Legend. That's not even involving the other Gunslinger abilities.
In addition, an EMP Bomb will disorient the Sectopod, reducing its aim and preventing it from using special abilities (though relying only on this effect is very risky; a disoriented Sectopod is still a very capable enemy).
Lastly, like their Enemy Within incarnation, they also explode with significant force when they are destroyed, damaging nearby units and the environment. Having a Sectopod standing next to an objective is a very dangerous situation. Moving backwards make prompt the Sectopod to move forward and be Fan Fired into the ground.
Once you destroy a Sectopod in a non-evac mission, and research the resulting Sectopod Wreck, you'll be able to build the GREMLIN MKIII, which will substantially improve the abilities of your Specialists.
According to the autopsy report, XCOM soldiers believe that the Sectopod is piloted by an alien. However, this is not the case, as it is completely autonomous.