With the introduction of Event Grid, Microsoft Azure now offers an even greater choice of messaging infrastructure options. The expanded messaging service fleet consists of the Service Bus message broker, the Event Hubs streaming platform, and the new Event Grid event distribution service. Those services, which are all focused on moving datagrams, are complemented by the Azure Relay that enables bidirectional, point-to-point network connection bridging.
At first glance, it may appear that Service Bus, Event Hubs, and the Event Grid compete with each other. They all accept datagrams, either called events or messages, and they enable consumers to obtain and handle them.
Read about it on the Azure blog.