Here's why:
* It modifies a noun: It describes the type of "thing" that covered their hair.
* It uses a relative pronoun: The word "that" acts as the relative pronoun, connecting the clause to the noun it modifies.
* It contains a verb: The verb "covered" is present in the clause.
Example:
"They wore hats that covered their hair."
In this sentence, "that covered their hair" modifies the noun "hats," providing more information about the type of hats they wore.