A coelom is a body cavity that is completely within the mesoderm while a pseudocoelom is a cavity between the mesoderm and the endoderm.
Coelomate animals have a coelom body cavity. Coelom cavity in mammals is the area that contains all heart and lungs as well as the gut.
Acoelomate animals have no true body cavity. They include, Mesozoa, Cnidaria,etc.
Pseudocoelomate animals have pseudocoelom. Their body cavity is not lined with mesodermal cells. This cavity exists between the mesoderm and the ebdoderm that makes the gut walls.