The main difference between envy and jealousy is that envy is the emotion of coveting what someone else has, while jealousy is the emotion related to fear that something you have will be taken away by someone else.

Video Explaining the Differences

Examples

Envy is a desire to possess what someone else has. For example,

She was envious of her friend who vacationed in exotic places and posted her pictures on Facebook.

Jealousy is the fear that what you possess will be taken from you. For example,

Jane's harmless flirting with the valet was enough to throw her boyfriend into a fit of jealous rage.

What does Jealous God mean?

Exodus 20:4-5 says

You shall not make for yourself an idol in the form of anything in heaven above or on the earth beneath or in the waters below. You shall not bow down to them or worship them; for I, the LORD your God, am a jealous God...

This is an exhortation to only worship the one true God, warning people against worshipping anyone or anything else. It can be argued that this is to protect people from charlatans who claim to be Gods or prophets, or from worshipping rocks, rivers, or the elements. A jealous God wants to monopolize your worship and does not want you wasting time worshipping false Gods.

Envy - A Deadly Sin

Jealousy is a somewhat more acceptable emotion in Christianity, probably because it is considered justified for a spouse to be jealous. And, indeed, for God to be jealous.

On the other hand, envy is one of the seven deadly sins. The moral rationale is that envy leads to discontent and resentment, which in turn can trigger further sins like theft or even murder. A person who does not covet what other people have is not only contented and happy, but also less likely to commit crimes.

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