Your main health bar. Taking damage will reduce your health but it can be restored with potions, events and other methods.
Your souls hearts. Taking damage will remove a soul heart and it cannot be healed except by obtaining more. Soul hearts have priority over your main health.
Your shield. Taking any kind of damage (Sometimes enemies can hit for more than a heart) will always reduce your Shield by one point. Shield points have priority over soul hearts and your main health. Shields can be restored by blacksmiths, items and equipment effects.