Snatch is an increased priority move. The effects of the first status move used by any other Pokémon on the same turn will be applied to the user of Snatch instead of the other Pokémon.
The moves that can be affected by Snatch include stat boosters such as Swords Dance and Calm Mind as well as others like Substitute and Synthesis.
Status moves, and Stealth Rocks (and similar variants) aren't status really. Also you can check the bulbapedia pages of those moves and it will say at the side 'Not affected by Snatch'. For example, the Stealth Rock page here