When they were discovered, nobody knew what they were. Alpha rays are actually heavy, fast-moving particles with a positive charge. They only travel a few centimetres in air and are stopped by a sheet of paper. They are very good at making air conduct electricity. They turn out to be the nuclei of helium atoms .
Beta rays are also particles, but very much lighter and faster moving than alpha-paricles.
They can travel through a metre or so of air, but are stopped by a few millimetres of aluminium. They have a negative charge and turn out to be electrons . They are not nearly as good as alpha particles at making air conduct electricity. Gamma rays are waves - they are part of the electromagnetic spectrum like light waves and radio waves. They have a very short wavelength - smaller than an atom.