From what I have read so far, a classifying space is a representing object of some (co)representable functor. For example, the $n^\text{th}$ Eilenberg–MacLane space is the classifying space for the $n^\text{th}$ singular cohomology functor since $$H^n_{\text{sing}}(X;G)\cong[X, K(G,n)]_{\text{Hotop}}.$$ Also principal $G$-bundles over a manifold $X$ are classified by the classifying space $BG,$ where $G$ is a Lie group. This is written as $$G\text{Bun}(X)\cong[X, BG]_{\text{Hotop}}.$$ So, maps in to (or from) the classifying space classify some data over associates to our object $X$ up to isomorphisms. On the other hand, in my mind, a moduli space is a space whose points are (isomorphism classes of) geometric structures/objects associated to $X.$ This is very intuitive as many sources say the term "modulus" is used synonymously with "parameter" and so a moduli space parametrizes the associated geometric structures/objects. The easiest example being the real projective plane $G(1,\mathbb{R}^3,\mathbb{R})=\mathbb{R}P^2$ whose each point represent a $1$-dimensional vector subspace of $\mathbb{R}^3.$ Next, moduli spaces on this line are general Grassmannians $G(k, V,\mathbb{F}).$ Another example is the moduli space $\mathcal{M}_g$ whose points are Riemann surfaces of genus $g$ up to biholomorphisms.
Please correct me if I am wrong at some point so far. However it seems like in literature people use the words moduli space and classifying space as synonyms. I would like to clarify this confusion, and know the precise difference and relationship between them.
This is only a partial answer but too long for a comment.
At least for principal $G$-bundles, any model for the classifying space $BG$ is a "space of $G$-torsors". By "$G$-torsor" I mean a topological space with a free and transitive $G$-action, for example the fibres of a principal $G$-bundle.
There is a topological characterization of $BG$ as follows:
Moreover every universal bundle $EG \to BG$ arises in this way.
But what is the space $E/G$? Each point in $E/G$ is a $G$-orbit in $E$, which is already a $G$-torsor. Any continuous function $f\colon X \to BG$ picks for each $x\in X$ a $G$-torsor $f(x)\in BG$, each already equipped with a $G$-action from $E$, and because $f$ is continuous these actions also vary continuously from fibre to fibre resulting in a principal $G$-bundle over $X$. Varying $f$ by a homotopy results in a different but isomorphic principal bundle.
In certain cases our group $G$ is the structure group of a different type of bundle we're studying: for example $O(n)$ is the structure group for rank $n$ vector bundles, and if $M$ is a smooth manifold $Diff(M)$ is the structure group for $M$-bundles. In special cases the classifying space can be modelled using moduli spaces of these fibre types: $BO(n)$ can be described as the Grassmannian $Gr_n(\mathbb{R}^\infty)$ of all $n$-dimensional linear subspaces of $\mathbb{R}^\infty$, where $O(n)$ has a free transitive action on the contractible Stiefel manifold $St_n(\mathbb{R}^\infty)$ of $n$-frames, and $BDiff(M)$ the moduli space of submanifolds of $\mathbb{R}^\infty$ diffeomorphic to $M$, where $Diff(M)$ acts on the space of embeddings $Emb(M, \mathbb{R}^\infty)$. (Note that these are only really classifying spaces for bundles over paracompact spaces.) In these cases we are able to identify each $G$-orbit with the fibre type we're interested in.
I have often wondered if for any $G$ and any $G$-space $F$ whether we can model $BG$ as a moduli space of objects of "type" $F$ as in the case of vector and manifold bundles, but I do not know.