Regarding XRD the crystallite size is a measure of the "size" of coherent scattering domains. SEM will give a picture of grains that may or may not consist of different sub domains. TEM eventually will give a picture of those possible sub domains and will be roughly comparable with the crystallite sizes of XRD.
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Crystallite Size is Different than Particle Size. A particle may be made up of several different crystallites or just one crystallite so in this case (particle size = crystallite size)
Crystallite size often matches grain size, but there are exceptions
Crystallites are coherent diffraction domains in X-ray diffraction.
Particles are chunks/pieces (usually very small, below 1 mm) of solid matter, ensembles of atoms. Particles can be as small as two atoms (the nitrogen particle for example, N2)
Grains are volumes, inside crystalline materials, with a specific orientation.
Particles can be polycrystalline, single crystal or amorphous. A 100 nanometer particle of gold, for instance, can be made of: