The Bible uses three words to describe “hell”—Sheol, Hades and Gehenna. What is the difference between them?

“Sheol” is the Hebrew word for the place of the afterlife, the dwelling place of the dead. It is used in the Old Testament to refer to that place where the spirits of those who have died go. Sheol existed as two “compartments” if you will—one for those who truly placed their lives and beliefs in the hands and trust of God, and one for those who lived their lives in rebellion against God. The Old Testament seems to suggest two very different experiences in the afterlife based on the dead person’s relationship with God while they were alive. We find this distinction mentioned in the book of Psalms; there it says, But man, despite his riches, does not endure; he is like the beasts that perish. This is the fate of those who trust in themselves, and of their followers, who support their sayings. Like sheep they are destined for the grave, and death will feed on them. The upright will rule over them in the morning; their forms will decay in the grave, far from their princely mansions. But God will redeem me from the grave; he will surely take me to himself—Psalm 49:12-15. The implication of different experiences in the afterlife is made even clearer by the prophet Daniel; he says, Multitudes who sleep in the dust of the earth will awake: some to everlasting life, others to shame and everlasting contempt—Daniel 12:2.
“Hades” is simply the Greek translation in the New Testament for the Hebrew word “Sheol” in the Old Testament. Again, it is the world of departed spirits. And Jesus, during His time on earth, accepted the teachings of the Pharisees regarding the two compartments housing the righteous separate from the wicked. And He told a very famous parable to illustrate the difference between the two: There was a rich man who was dressed in purple and fine linen and lived in luxury every day. At his gate was laid a beggar named Lazarus, covered with sores and longing to eat what fell from the rich man’s table. Even the dogs came and licked his sores. The time came when the beggar died and the angels carried him to Abraham’s side. The rich man also died and was buried. In hell, where he was in torment, he looked up and saw Abraham far away, with Lazarus by his side. So he called to him, ‘Father Abraham, have pity on me and send Lazarus to dip the tip of his finger in water and cool my tongue, because I am in agony in this fire.’ But Abraham replied, ‘Son, remember that in your lifetime you received your good things, while Lazarus received bad things, but now he is comforted here and you are in agony. And besides all this, between us and you a great chasm has been fixed, so that those who want to go from here to you cannot, nor can anyone cross over from there to us.’ He answered, ‘Then I beg you, father, send Lazarus to my father’s house, for I have five brothers. Let him warn them, so that they will not also come to this place of torment.’ Abraham replied, ‘They have Moses and the Prophets; let them listen to them.’ ‘No, father Abraham,’ he said, ‘but if someone from the dead goes to them, they will repent.’ He said to them, ‘If they do not listen to Moses and the Prophets, they will not be convinced even if someone rises from the dead’”—Jesus Christ, Luke 16:19-31. While both in Hades, Lazarus (the poor man) winds up at “Abraham’s side” (the righteous compartment) while the rich man winds up in a decidedly different—and unpleasant—place. Note what he is experiencing: (1) He is fully conscious, and he is experiencing pain; (2) both eternal destinies are permanently fixed—“between us a great chasm has been fixed, so that those who want to go from here to you cannot, nor can anyone cross over from there to us”—which seems to clearly give answer to the idea that we can pray for someone to be saved after they have died; we need to understand that death settles the outcome; as the writer of Hebrew said, [M]an is destined to die once, and after that to face judgment—Hebrews 9:27; (3) while he complains about the pain, the rich man does not complain about any injustice done; he seems to understand he is where he deserves, even going so far as to be worried about the fate of his brothers (still alive) that they could wind up in the same place unless intervention took place.
Finally, what we also need to take note of is that they both exist in a temporary state; the hades in which the rich man dwells is not the final outcome of hell—the place of eternal, everlasting punishment for all those not found in relationship with God through Jesus Christ. The Greek word used in the New Testament is “gehenna,” and it is taken from the Valley of Hinnom, the place outside of Jerusalem where human sacrifice took place during worship of the god Molech. Later on it essentially became the city garbage dump for Jerusalem. It was a place where there was perpetual fire, and where worms bred in the midst of the debris. Jesus used that imagery in the gospel of Mark, quoting from Isaiah as He said, If your hand causes you to sin, cut it off. It is better for you to enter life maimed than with two hands to go into hell, where the fire never goes out. And if your foot causes you to sin, cut it off. It is better for you to enter life crippled than to have two feet and be thrown into hell. And if your eye causes you to sin, pluck it out. It is better for you to enter the kingdom of God with one eye than to have two eyes and be thrown into hell, where ‘THEIR WORM DOES NOT DIE, AND THE FIRE IS NOT QUENCHED’—Jesus Christ, Mark 9:43-48. And for all of those who object that “a God of love would never send someone to such a hell,” of the 12 times the word “gehenna” is used in the New Testament, 11 of those times come from the mouth of Christ. He spoke more about hell than He did about heaven. Hell/gehenna is the final destination, where all those unbelievers held in Hades are brought to their eternal judgment. One of God’s angels foretold the following concerning those who followed the Antichrist: A third angel followed them and said in a loud voice: “If any worship the beast and his image and receives his mark on the forehead or on the hand, he, too, will drink of the wine of God’s fury, which has been poured full strength into the cup of his wrath. He will be tormented with burning sulfur in the presence of the holy angels and of the Lamb. And the smoke of their torment rises for ever and ever. There is no rest day or night for those who worship the beast and his image, or for anyone who receives the mark of his name”—Revelation 14:9-11. And finally, at the end of recorded time, the Bible says this: And the devil, who deceived them, was thrown into the lake of burning sulfur, where the beast and the false prophet had been thrown. They will be tormented day and night for ever and ever. Then I saw a great white throne and him who was seated on it. Earth and sky fled from his presence, and there was no place for them. And I saw the dead, great and small, standing before the throne, and books were opened. Another book was opened, which is the book of life. The dead were judged according to what they had done as recorded in the books. The sea gave up the dead that were in it, and death and Hades gave up the dead that were in them, and everyone was judged according to what they had done. Then death and Hades were thrown into the lake of fire. The lake of fire is the second death. If anyone’s name was not found written in the book of life, he was thrown into the lake of fire—Revelation 20:10-15.
So everyplace after death is in the spiritual realm. So what happened to those righteous who had died before the time of Christ? While there is not a clear biblical answer, the traditional view is that, upon His death, all the righteous in Sheol were transported to heaven. Hades, now, is seen as a single compartment—a “holding place” for the unrighteous to wait for final judgment. Paul writes in Ephesians, This is why it says: “WHEN HE ASCENDED ON HIGH, HE LED CAPTIVES IN HIS TRAIN AND GAVE GIFTS TO HIS PEOPLE.” (What does “he ascended” mean except that he also descended to the lower, earthly regions? He who descended is the very one who ascended higher than all the heavens, in order to fill the whole universe)—Paul, Ephesians 4:8-10 (quoting Psalm 68:18). But there seems good evidence to suggest that the Old Testament righteous also were immediately transported to the presence of God—not the final heaven of eternity but into His presence nevertheless. David for one said it this way: And I—in righteousness I will see your face; when I awake, I will be satisfied with seeing your likeness—David, Psalm 17:15. And David also shares these relevant ideas to answer this question: I have set the Lord always before me. Because he is at my right hand, I will not be shaken. Therefore my heart is glad and my tongue rejoices; my body also will rest secure, because you will not abandon me to the grave, nor will you let your Holy One see decay. You have made known to me the path of life; you will fill me with joy in your presence, with eternal pleasures at your right hand—David, Psalm 16:8-11.
So, to conclude, it is useless to pray for the dead because death seals our final destination. In a sense, these souls are in prison because they are being held until final judgment. Praying for the dead has been a centuries-old human tradition that has no basis in biblical Christianity.
Now, where do we go today after we die? Immediately into the presence of God. Paul famously said it this way: For to me, to live is Christ and to die is gain. If I am to go on living in the body, this will mean fruitful labor for me. Yet what shall I choose? I do not know! I am torn between the two: I desire to depart and be with Christ, which is better by far—Paul, Philippians 1:21-23. And, as he expressed to the church at Corinth, We are confident, I say, and would prefer to be away from the body and at home with the Lord—Paul, II Corinthians 5:8. We will be spiritually present with God, waiting for our final resurrection bodies which will endure for all eternity.