The Mesh and SubMesh classes deal with the definition of the geometry used by discrete movable objects. Entities are actual instances of objects based on this geometry in the world. Therefore there is usually a single set Mesh for a car, but there may be multiple entities based on it in the world. Entities are able to override aspects of the Mesh it is defined by, such as changing material properties per instance (so you can have many cars using the same geometry but different textures for example). Because a Mesh is split into a list of SubMesh objects for this purpose, the Entity class is a grouping class (much like the Mesh class) and much of the detail regarding individual changes is kept in the SubEntity class. There is a 1:1 relationship between SubEntity instances and the SubMesh instances associated with the Mesh the Entity is based on.
Entity and SubEntity classes are never created directly. Use SceneManager.CreateEntity(string, string) (passing a model name) to create one.
Entities are included in the scene by using SceneNode.AttachObject to associate them with a scene node.