The disciplines are distinct but linked, and they overlap. Sometimes a scenario requires one discipline, sometimes more than one, or a bit of all three.
Mentoring (whether personal, business, or organisational), is primarily about offering mentees the opportunity to step away from their day to day responsibilities and spend time with an empathetic and experienced mentor. Mentoring is primarily about helping the mentee to make their own decisions, by offering food for thought about whatever is relevant.
Coaching is more concerned with providing the person being coached with the accountability and management support that might not be present in their organsiation if they are the leader of it, or if they are a one man band. It may involve training and/or work progress reviews, depending on what the recipient feels they need.
Consultancy is more advisory, more prescriptive, it's about advising an individual, business or organisation on possible courses of action. It may be purely advisory, or could be implementational.
The first step is to establish with you what sort of help you need, then we can advise on how best to proceed.