Conspiracy is something nefarious performed by 2 or more people.
Theory simply means it hasn't been indisputably proven yet.
However, MSM and others have co-opted the 2 word phrase to mean "tin-foil hat lunatic" when it goes against their agenda. Curiously, every time HRC claims it was a Republican conspiracy against her, MSM was in agreement. Then, conspiracy theory became conspiracy fact. For reasons I can't explain, normies buy this MSM bullshit.