What is the difference between a 'gravy' and a 'sauce'?

A "gravy" is a sauce, but not every "sauce" is a gravy.

A gravy is a sauce created using meat juices. Various liquids and seasonings may be added before thickening to form a gravy.
https://www.merriam-webster.com/dictionary/gravy

The same source defines "sauce" in this sense as:

a condiment or relish for food
especially : a fluid dressing or topping

https://www.merriam-webster.com/dictionary/sauce

So, sauces are food accompaniments NOT prepared using meat juices. One example would be Hollandaise sauce.