In modern American usage, there is almost no difference between a grocery store and a supermarket. In some regions of the USA, one term is more common than the other. Both are usually used to describe what is actually a supermarket - a large store that sells all types of food, toiletries, and cleaning products.
There are smaller grocery stores that sell mostly produce and such, but they are becoming rather rare in the USA. Usually if somebody says that they are going to the grocery store, they mean the supermarket. I do not know if this is different in other English-speaking countries.
A department store is a large store that sells many different types of goods (has many departments). This almost always includes clothing, electronics, and home appliances, and can also include things like furniture, hardware, office supplies, and food (that is less common).