The primary difference between an allergy, a sensitivity, and an intolerance is that an allergy is characterized by an immune system reaction to a substance. A sensitivity manifest in the form of abstract symptoms like fatigue, weight loss, constantly runny nose, and a general feeling of being unwell, which can make it challenging to track down the offending substance. An intolerance is characterized by the body lacking a chemical or enzyme needed to digest certain food.
All, however, can be quite serious, and a range of symptoms can be caused by allergies, sensitivities, and intolerances. For this reason, it is a good idea to see a doctor about symptoms which appear to be linked to exposure to certain substances, to figure out precisely what is going on.