The Home Depot provides a chart that explains the differences in wire nut, more commonly known as wire connector, colors on its website. The chart explains the size of wire that can be used in these wire nuts and the number of wires that can be combined.
Orange wire nuts are used to combine two 14- or 18-gauge wires. Yellow wire nuts are designed to hold two to three 14- or 16-gauge wires. Red wire nuts are meant to hold three or more wires that are either 12 or 14 gauge in thickness. Green wire nuts are designed to hold only bare copper grounding wires.