I'm reading Peter May's "Concise Course in Algebraic Topology", and I'm having trouble interpreting this yellow-highlighted line.
When I've seen the expression "pullback of $f$ along $g$" previously, $g$ and $f$ have had shared codomains. So I have two questions:
- Diagrammatically, what does the setup look like here? (i.e. what is May saying?)
- Why does $D$ cover $A$ in this situation?

In the chapter "Covering spaces" May makes the assumption
You can of course introduce the concept of covering spaces in a more general setting by omitting this assumption. Most authors do so.
In this general setting one can easily prove that the pullback of a covering map $p : E \to B$ along a map $f :A \to B$ is again a covering map. This pullback is of course a map $p' : E' \to A$:
$\require{AMScd}$ \begin{CD} E' @>{f'}>> E \\ @V{p'}VV @V{p}VV \\ A @>{f}>> B\end{CD}
May's statement (which I modified a little bit to adjust it to our general setting) is this:
I think the pullback of $f$ along $E \to B$ is a map $D \to E$ which is not what we want. But perhaps that is only a question of notational conventions.
May's statement includes the assumption "where $A$ is connected and locally path connected". This is due to his basic assumption on spaces. Moreover, he adds "and $D$ is a component of the pullback". This is due to the fact that our above $E'$ is not necessarily connected. But restricting $p' : E' \to A$ to such $D$ yields again a covering map - which now fits into his framework. An example for this phenomenon is the covering map $p : \mathbb R \to S^1$. Pulliing back along the inclusion of a one-point space $P$ into $S^1$ yields the covering map $\mathbb Z \to P$.