Asteroids are rocky fragments left over from the formation of the solar system about 4.6 billion years ago. Most asteroids orbit the sun in a belt between Mars and Jupiter.
Comets are relatively small, fragile, irregularly shaped bodies and, like asteroids, they are left over from the solar system formation process.
Most meteoroids are small and rocky. When one approaches Earth, it burns up as it goes through Earth's atmosphere. Thus a meteor, or shooting star, is formed.

Moons -- also called satellites -- come in many shapes, sizes and types. They are generally solid bodies, and few have atmospheres.
Planets are either rocky or gaseous space figures that orbit a star