From Wikipedia:
Jealousy is a secondary emotion and typically refers to the negative thoughts and feelings of insecurity, fear, and anxiety over an anticipated loss of something that the person values, particularly in reference to a human connection. Jealousy often consists of a combination of presenting emotions such as anger, sadness, resentment and disgust. It is not to be confused with envy. (link)
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Envy (also called invidiousness) is best defined as an emotion that “occurs when a person lacks another’s (perceived) superior quality, achievement, or possession and either desires it or wishes that the other lacked it.
Envy can also derive from a sense of low self-esteem that results from an upward social comparison threatening a person’s self image: another person has something that the envier considers to be important to have. If the other person is perceived to be similar to the envier, the aroused envy will be particularly intense, because it signals to the envier that it just as well could have been he or she who had the desired object. (link)