These two words get used as if they mean the same thing, and they don't. Knowing the difference actually changes what you should be checking for.
Privacy is about you
Privacy is your own ability to control who sees information about you and what happens to it. It's the setting on your social media account, the choice not to hand over your date of birth to a random website, the right to be left alone.
Confidentiality is a promise someone else made
Confidentiality is an agreement, spoken or written, that someone else won't share information you've given them. When your bank says your details are confidential, that's a commitment on their end, not a setting you control.
Privacy is what you control. Confidentiality is what someone else has promised.
Why the difference matters
If a business breaks confidentiality, that's a promise broken, and often a legal obligation broken too. If you give away your own information freely, nobody's broken a promise, you've simply made a privacy choice, possibly without meaning to. Knowing which one you're dealing with helps you know who's actually responsible when something goes wrong.
Worth a proper read
The Office of the Australian Information Commissioner has a clear, plain-English explanation of privacy as a right. Read it at oaic.gov.au.