There is a difference of degree and intensity, and they have slightly different usages; 'Envy' can be admiring too. Jealous is often used in situations of sexual love, or rivalry. Jealousy tends to be of an unhealthy nature, envy I feel is somewhat milder. So use 'envy' when admiring, jealous when about sex, and interchangeably otherwise.

They're interchangeable most of the time. However, when you are talking about affairs of the heart, stick with jealous. We say, 'jealous wife' or 'how to make your boyfriend jealous', but we wouldn't use 'envious' in those expressions.