A bit late but just so this question has an answer, the more general equation is the Convection-Diffusion equation (or drift-diffusion equation):
$$ \partial_t u = \nabla\cdot(D \,\nabla u) - \nabla\cdot(v u) + S $$
where $D$ is the diffusivity, $u$ is some variable (temperature, concentration, etc...), $v$ is some veolocity field (e.g. if the water is moving while the substance is diffusing), and $S$ is a source or sink term of $u$.
A special case is the anisotropic diffusion equation where $v=0$ and $S=0$:
$$ \partial_t u = \nabla\cdot[D \,\nabla u] $$
so the substance $u$ is diffusing "outward" from its starting distribution, but it movies differently in different directions. A special case of this is the heat equation (also called the isotropic diffusion equation), where $D=\alpha I$, so that
$$ \partial_t u = \alpha \Delta u = \alpha\left( \partial_{xx} u + \partial_{yy} u + \partial_{zz} u \right) $$
where (at least from what I've seen) this last equation is only called thermal in the the context of physics, and just heat equation or (isotropic) diffusion equation elsewhere.
These equations describe both heat or thermal diffusion and diffusion of some concentration, because both processes can be thought of as being dispersed by the random movements of many particles. All of these can therefore be connected to the theory of stochastic processes because the Fokker-Planck (forward Kolomogorov) equation of a stochastic Ito diffusion process is a convection-diffusion PDE.