In Ireland and the UK, thesis usually means an unpublished work submitted for a doctoral degree (Ph.D) while a dissertation is a work produced at undergraduate or masters' level. Terminology is different in other countries.
In Ireland and the UK, Thesis is either for a doctoral or a master's degree.
Dissertation is either for a master's or a bachelor's degree with honours.
Exegesis is the written component of a practice-based thesis where the major output is a creative
work; e.g. a film, artwork, novel.
However, to add to the confusion
In some other parts of the world such as North America, a dissertation may be for a doctoral degree and a thesis for a master's degree.