Daiei Tobiko 110g

A smelt is a kind of fish.  Roe is simply a word for fish eggs (or caviar).  Thus, smelt roe is the eggs of a particular kind of fish.  In sushi, masago is the eggs of Mallotus villosus, more commonly called the capelin, which is a variety of smelt.

Masago is typically the smallest kind of fish eggs that you'll see in sushi.  It is usually sort of an orange color, but you may find it black (colored with squid ink) or green or yellow.  Also common in sushi is tobiko (flying fish roe) which is a little bit larger, and ikura (salmon roe) which are quite large.