In descriptive set theory, we study properties of Polish spaces, typically not considered as topological spaces but rather we equip them with their "Borel structure", i.e., the collection of their Borel sets. Any two uncountable standard Borel Polish spaces are isomorphic, and the isomorphism map can be taken to be Borel. In practice, this means that for most properties we study it is irrelevant what specific Polish space we use as underlying "ambient space", it may be ${\mathbb R}$, or ${\mathbb N}^{\mathbb N}$, or ${\mathcal l}^2$, etc, and we tend to think of all of them as "the reals".
In Lebesgue Sur les fonctions representables analytiquement, J. de math. pures et appl. (1905), Lebesgue makes the mistake of thinking that projections of Borel subsets of the plane ${\mathbb R}^2$ are Borel. In a sense, this mistake created descriptive set theory.
Now we know, for example, that in ${\mathbb N}^{\mathbb N}$, projections of closed sets need not be Borel. Since we usually call reals the members of ${\mathbb N}^{\mathbb N}$,
it is not uncommon to think that projections of closed subsets of ${\mathbb R}^2$ are not necessarily Borel.
This is false. Note that closed sets are countable union of compact sets, so their projections are $F_\sigma$. The actual results in ${\mathbb R}$ are as follows: Recall that the analytic sets are (the empty set and) the sets that are images of Borel subsets of $\mathbb R$ by Borel measurable functions $f:\mathbb R\to\mathbb R$.
A set is Borel iff it and its complement are analytic.
A set is analytic iff it is the projection of the complement of the projection of a closed subset of ${\mathbb R}^3$.
A set is analytic iff it is the projection of a $G_\delta$ subset of $\mathbb R^2$.
There is a continuous $g:\mathbb R\to\mathbb R$ such that a set is analytic iff it is $g(A)$ for some $G_\delta$ set $A$.
A set if analytic iff it is $f(\mathbb R\setminus\mathbb Q)$ for some continuous $f:\mathbb R\setminus\mathbb Q\to\mathbb R$. (Note that if $f$ is actually continuous on $\mathbb R$, then $f(\mathbb R\setminus\mathbb Q)$ is Borel.)