I consider them to be basically the same. I would use "fidelity"when talking about being faithful to a spouse. It is also used by audio enthusiasts when referring an accurate reproduction of an audio source, as in "high-fidelity audio." I would use "loyalty' when talking generally about "remaining true.

They are synonyms with nuances in meaning. Only an advanced learner can learn to grasp the small differences in meaning... But here is one attempt at an explanation: from http://dictionary.reference.com/browse/loyalty Loyalty, allegiance, fidelity [and faithfulness] all imply a sense of duty or of devoted attachment to something or someone. Loyalty connotes /sentiment and the feeling of devotion/ that one holds for one's country, creed, family, friends, etc. Allegiance applies particularly to a citizen's duty to his or her country, or, by extension, one's obligation to support a party, cause, leader, etc. Fidelity implies unwavering devotion and allegiance to a person, principle, etc.