I am a beginner in Japanese. So we both have that in common.
I am jealous,I envy you and you are lucky can all be used interchangeably (they have the same meaning- they all mean 羨ましい。
However, each way to say it has a small difference.
I am jealous - Usually connotes ( means) "I desire what you have"
I envy you - Usually connotes "I aspire (want) to be like you"
You are lucky - This one is a bit further away from "羨ましい" and closer to "congratulations" ”おめでとう”. However it can also have hints of jealousy.
I am not a professor, or linguist, but I hope what I wrote helps.