Red foxes, gray wolves, and coyotes all belong to the family Canidae, but they are different species within that family. Among the three, gray wolves and coyotes are more closely related to each other than either is to red foxes.
Gray wolves (Canis lupus) and coyotes (Canis latrans) belong to the same genus, Canis, and share a more recent common ancestor. In contrast, red foxes (Vulpes vulpes) belong to a different genus, Vulpes. So, in terms of evolutionary relationships, gray wolves and coyotes are more closely related to each other than to red foxes.