Dragons: They are minor divine beings, the children of Akatosh, the Dragon God of Time.
Celestials: Beings of inmense power that form the stars. Probably just under the power level of a Daedric Prince or close to it
the Divines: Fully fledged gods who lost lots of their power by creating the Mundus.
Daedric Princes: Gods of Oblivion who retained all of their power, by not helping in the creation of the Mundus.
Power levels: Akatosh>Daedric Princes>Divines=Celestials>Dragons
May knowledge guide you to enlightenment