Sex assigned at birth (SAAB) is about physical characteristics - chromosomes, hormones, gonads, and anatomy - recorded at birth. It isn't strictly binary either: roughly 1-2% of people are intersex.
Gender identity is a person's internal, deeply held sense of their own gender. It can align with sex assigned at birth (cisgender) or not (transgender), and it isn't limited to male or female - see Non-Binary.
Gender expression is a third, separate thing again: how a person presents their gender externally, through clothing, mannerisms, or appearance. Expression doesn't have to match identity in any particular way.
The full breakdown of related terms - gender dysphoria, gender euphoria, AFAB/AMAB/AISAB, and more - is on the Key Distinctions page.