(Note: I am learning like everyone else. Some people do have different definitions for certain words, and I realize that. I defined these terms to the best of my ability. However, if something it totally wrong to you, feel free to tell me)
How you define your gender. You, and only you decide your gender identity. This could be man, woman, genderqueer, etc
This is your ‘natural’ anatomy ex. female, male, intersex
This depends on who you are sexually attracted.
Often confused with sexual orientation, romantic orientation is who you are able to have romantic feelings for.
Your sexuality is made up of you. Your body, what turns you on, what turns you off, your pleasures, your fetishes, your sexual feelings and so on.