They are the same really.

Toothed whales are a suborder (called Odontoceti) of the order Cetacean.

All dolphins are included in this suborder of toothed whales, but not all toothed whales are dolphins. Toothed whales include sperm whales, beaked whales, river-dolphins, belugas and narwhals, dolphins, and porpoises.

Some of the differences between these various families of toothed whales include different numbers of teeth, head/nose structure, and body size.