Undead: Someone who's body has died, but who's soul is still bound to the body. They are technically dead, but the soul has not passed back into Creation. E.g. a zombie, a vampire.
Soulless: Someone who have given up their soul, or have had their soul snatched away by some means. They are technically alive, but they possess no soul. E.g. a Hollow Man, a Forfeited.
[Picture source: Edvard Munch on Art History Library; 2 ExileHazard on DeviantART]