SGML is a standard for defining markup languages. HTML between version 2 and version 4 are defined using SGML (although browsers do not make use of that definition unfortunately). XML is also defined using SGML. XML is extensible so it can be used to define further simplified markup languages such as XHTML.
There is no connection between HTML and XML other than that they have both been defined using SGML. With HTML 5 there isn't even that much connection as it does not follow the SGML standard for defining markup languages.