As is usual with biology – it's in the name! Secondary messengers are molecules that carry a molecular message from the border of the cell to its final destination. Although the secondary portion can make it seem like they are the second molecule to pass the message, there can theoretically be an infinite amount of molecules that pass the message along, much like a game of 'telephone'! There can be one, two, three, etc. secondary messengers between the membrane receptor and the signal's final destination inside the cell.
Signals and receptors, on the other hand, are the first part of the signal pathway. The signal is a molecule that travels from somewhere outside the cell to a receptor protein on the surface of the cell. This signal can be thought of as the 'primary messenger'. This signal molecule binds to the receptor protein embedded in the membrane of the cell, at which point secondary messengers on the inside of the cell carry the signal from the very same receptor protein on the inside of the cell to its final destination within the cell.
Both secondary messengers and signals & receptors play a role in passing a message from outside the cell to somewhere inside the cell. How this is done specifically can vary with each cell and each message! This entire process is called the Signal Transduction Pathway.
