Being envious means you want what someone else has and jealousy means that you're worried someone will take what you have. Being jealous of someone doesn't necessarily mean you're envious of them, but these feelings often go together. While these are the technical definitions, a lot of people don't make that distinction and use the words interchangeably anyway, so don't worry too much.
Ex: I'm envious of her fame.
You aren't jealous because you don't have any fame that she's able to take from you, but you envy her because she has fame that you want.
Ex: I'm jealous because of how much time she spends with my boyfriend.
Here is a situation where both definitions would be applicable in their own way. You're envious of the time she is taking from your boyfriend and want it to be yours and you're feeling jealous because you worry you'll end up losing your boyfriend.