Source: https://math.stackexchange.com/questions/941150/what-is-the-difference-between-independent-and-mutually-exclusive-events
Summary:
Mutually Exclusive:
Events cannot happen at the same time. [In one experiment]
Statistically Independent:
Occurrence of one event doesn't affect other. [In two experiments]
Mutually Exclusive:
Events cannot happen at the same time. [In one experiment]
Statistically Independent:
Occurrence of one event doesn't affect other. [In two experiments]
Mutually Exclusive:
[Wikipedia]
In logic and probability theory, two events (or propositions) are mutually exclusive or disjoint if they cannot both occur at the same time(be true). A clear example is the set of outcomes of a single coin toss, which can result in either heads or tails, but not both.
Statistically Independent:
When two events are said to be independent of each other, what this means is that the probability that one event occurs in no way affects the probability of the other event occurring. An example of two independent events is as follows; say you rolled a die and flipped a coin. The probability of getting any number face on the die in no way influences the probability of getting a head or a tail on the coin.