Crawling is where search engines spiders / bots move from web page to web page by following the links on the pages. The pages "found" are then ranked using an algorithm and indexed into the search engine database.

Indexing is where search engine has crawled the web and ranks the URLs found using various criteria and places them in the database, or index.

Caching is where copies of web pages stored locally on an Internet user's hard drive or within a search engine's database.