The Great Purge has been introduced to Star Wars canon thanks to The Mandalorian, but while many Mandos were killed, a few survivors have already been confirmed. First mentioned in The Mandalorian season 1 premiere, the Great Purge has been referenced a few times throughout the show’s run, although much of the truth behind it remains something of a mystery. The basic facts that’ve been established, though, are that the Empire realized they would never be able to truly rule Mandalore or its people, and so instead wiped them out.
From the sounds of it, the Great Purge is essentially the Mandalorian equivalent of Order 66, in which most of the Jedi Order was killed. That may have been before the Empire rose to galactic power, but the net result is more or less the same: removing a powerful opposition, and sending what’s left of their people fleeing across the galaxy, reduced to hiding in the shadows. That’s where the Jedi were after Order 66, and it’s where the Mandalorians are by the time The Mandalorian takes place.