Each kidney receives blood through a renal artery. Inside the kidney, the renal artery branches into smaller and smaller arterioles. Within each nephron (the functional unit of the kidney), an afferent arteriole enters the cup-shaped structure called the Bowman's capsule (or Bowman's capsule / renal capsule) and splits into a dense, tangled ball of capillaries. This capillary tuft is called the glomerulus.
The glomerulus is the site of ultrafiltration: the high blood pressure inside these capillaries forces water, salts, glucose, urea, and other small molecules out of the blood and into the cavity of the Bowman's capsule, forming the glomerular filtrate. Large molecules such as proteins and blood cells are too big to pass through the capillary walls and remain in the blood.
The other structures named in the question serve different roles. The tubule (renal tubule) is the long tube leading away from the Bowman's capsule where selective reabsorption occurs. The pelvis (renal pelvis) is the funnel-shaped cavity that collects urine before it drains into the ureter. The nephron is the entire functional unit comprising the Bowman's capsule, glomerulus, and tubule together, not the capillary mass alone.
Remember: the glomerulus is specifically the knot of capillaries inside the Bowman's capsule where filtration begins.