VFX (visual effects) is not the same as CGI (computer-generated imagery). However, they are related and the two terms are sometimes used interchangeably.
CGI is any imagery created digitally, whereas VFX combines live-action footage with digitally created imagery. VFX incorporates CGI-like 3D modeling, but VFX also incorporates other practices like green screen filming, compositing, and performance capture. Today, some amount of VFX exists in nearly every new movie, not just big-budget action and sci-fi films. However, 3D animated films like The Super Mario Bros. Movie are entirely CGI.