The Fediverse is everything that is connected via ActivityPub. You have Lemmy and Kbin, but you also have Mastodon serving as a Twitter analogue, PeerTube as a YouTube analogue, Pixelfed as an Instagram analogue, etcetera, all of which are part of the Fediverse umbrella.
The Threadiverse is just the “forum” side of the Fediverse, the Reddit-alikes. At this point that means just Lemmy and Kbin, but there’s no reason there couldn’t be more alternatives in the future.