A sentence expresses a full thought.
It has a SUBJECT (somebody or something) and a PREDICATE (information about the subject).
For example,
The children are playing.
the children = subject
are playing = predicate
or
The sky is blue.
the sky = subject
is blue = predicate
A phrase is made of words that don’t form a full thought.
a girl = a noun phrase
is coming = a verb phrase
A girl is coming. = noun phrase + verb phrase = sentence
So, sentences are made of phrases.