Processes of production, transport, deposition, lithification, and preservation of sediments of the Moon and Earth are extremely different. The differences arise primarily from the dissimilarity in the origins and sizes of the Moon and Earth. The consequence is that the Moon does not have an atmosphere, a hydrosphere (the Moon is totally dry), a biosphere (the Moon is totally life-less), a magnetosphere, and any tectonic force. Pristine rocks on the exposed surface of the Moon are principally anorthositic and basaltic, but those on the Earth are granitic (discounting suboceanic rocks). Sediments on these two bodies probably represent two end-members on rocky planetary bodies. Sediments on other rocky planetary bodies (atmosphere-free Mercury and asteroids, Venus with a thick atmosphere but possibly no water on its surface, and Mars with a currently dry surface sculptured by running water in the past) are intermediate in character. New evidence suggests that characteristics of Martian sediments may be in-between those of the Moon and Earth. For example, impacts generate most Martian sediments as on the Moon, and, Martian sediments are wind-blown to form dunes as on Earth. A comparative understanding of sediments of the Moon and Earth helps us anticipate and interpret the sedimentary record of other planetary bodies.