SQL (often referred to as Structured Query Language) is a programming language designed for managing data in relational database management systems (RDBMS).
Oracle(commonly referred to as Oracle RDBMS or simply as Oracle) is an object-relational database management system (ORDBMS)
Colloquially, when most people are talking about the difference between Oracle and SQL, they actually mean "between Oracle and Microsoft SQL Server (a.k.a. MSSQL)". They are products from two different companies competing in the relational database engine market. They share some SQL syntax as they are both based on ANSI standards, but they each have their own "flavor" of SQL extensions. Additionally, they have their own sets of management and query tools.