Bandito is a familiar English word used to refer to a bandit, especially one in Mexico or the American southwest. While it is familiar to most English speakers, especially Americans, it is not a word in common rotation in most people's vocabulary. It came into popular culture by way of the Italian-made spaghetti western and related media, and stuck around specifically in the context of westerns.
Bandito comes from Italian, being the past participle of bandire, the verb meaning 'to ban' -- a 'bandito' is 'that which is banned'. As such, the proper conjugation would be: female 'bandita', masculine plural 'banditi', and feminine plural 'bandite'. However, we do not do this in English, rather treating bandito as a gender neutral label and using the plural form 'banditos'.
Bandito is often mistaken for Spanish; while a Spanish speaker is not particularly more likely to refer to a wrongdoer as a bandit than is an English speaker, if one were to do so, the Spanish word is bandido.