Envy is one of the seven deadly sins. And you may have heard of the saying "to be green with envy". So you could say it has a rather negative meaning.
However, the meanings of words that are as close as these sometimes depend on context. Generally, in daily conversations, jealousy has a little bit more negative meaning than envy.
But still, when your friend tells you that she's found a gorgeous pair of Manolo Blahniks 50% off, you can say "Oh, I'm so jealous!", and we'd all know that you don't actually mean it in a bad way.
Bonus point: In a romantic sense, you'd be jealous of your husband, you wouldn't envy him.
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