The term Build is a generic term, that describes the overall process which includes compiling. In other words, the Compiler compiles and linker links the object files created by the compiler into e.g. an executable application (or a library).
A Building can (and usually does) involve several steps, such as pre-processing, compiling, linking, converting data files, running automated tests, packaging, etc.
Building is done when preparing an application for release
Compile
It means that through the help of the compiler we convert the high-level language, i.e. source code into an object file.
Compiling is part of a build process.
Compiling is done at any time the compiler is involved in translating programming language code to machine code.
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Build
Compile