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Nationality is the nation you are a citizen of. Ethnicity is the ethnic group(s) you identify with.
In Europe, these are largely the same. The only multi-ethnic countries I can think of are Russia, the UK and Spain.
But in most parts of the world, one country would have multiple ethnic groups, and one ethnic group may be spread across multiple countries. For example, China has Han people, Mongols, Muslims, Tibetans and so on. Of these, the Mongols also live in Mongolia and Russia, the Tibetans also in India and Nepal, and so on.
Again, in Europe it seems to be common for people to identify primarily with their nation (except Catalans, Scots, etc.) But elsewhere, since the borders were often drawn by outsiders, people often identify more with their ethnic group. This unfortunately leads to a lot of conflict.