Although sometimes used synonymously, envy and jealousy have different meanings.
Envy is the desire for something that someone else has, or a feeling of ill will over another person's advantages in general:
My envy of your success has made me bitter.
Jealousy is a resentful suspicion that someone else has what rightfully belongs to the jealous person:
Out of jealousy, he followed his wife.
The favored treatment of the daughter created jealousy in the son.