If $\psi(x)$ solves
$$
-\frac{\hbar^2}{2m}\frac{d^2}{dx^2}\psi(x)+V(x)\psi(x)=E\psi(x) \tag{1}
$$
then $\psi(-x)$ solves
$$
-\frac{\hbar^2}{2m}\frac{d^2}{dx^2}\psi(-x)+V(-x)\psi(-x)=E\psi(-x)\tag{2}
$$
since the double derivative w/r to $x$ does not pick up a sign when $x\to -x$, i.e.
$$
\frac{d^2}{d(-x)^2}=\frac{d^2}{dx^2}\, .
$$
Now, if $V(x)=V(-x)$, we have that $\psi(-x)$ also solves (1) in addition to solving (2), and thus the linear combinations of solutions with the same $E$:
$$
\psi_\pm (x) = \psi(x)\pm \psi(-x)
$$
also solve (1) (or (2)).
The function $\psi_+(x)$ has positive parity since $\psi_+(-x)=+\psi_+(x)$. The function $\psi_-(x)$ has in turn negative parity.
Hence in solving for (1) we can do “half” the work by restricting the search to even or odd functions. In the case of the harmonic oscillator, this means we can restrict to Gaussians which multiply polynomials in even or odd powers only. In the case of a finite well, the boundary conditions at one end of the well - say $x=-a$ - are easily related to the boundary conditions at $x=+a$ so you only need to look at one boundary rather than 2.