Inscription, legend, caption are comparable when they mean something written, printed, or engraved (as on a coin or a medal or under or over a picture) to indicate or describe the purpose or the nature of the thing.
Inscription may apply to something written or printed, but it more often applies to something engraved, incised, or impressed on some hard surface (as stone, bronze, or silver); the word often carries an implication of durability or of permanence that is lacking, usually, in the others, and therefore often suggests a statement that has been framed or selected with care.
A legend (see also MYTH ) is basically a very short inscription (as on a coin, a medal, or a heraldic shield) that is a motto or a statement of an aim, an ideal, or a guiding principle. The term is also used for the printed statement giving the title or a brief description or explanation of an illustration or diagram (as in a textbook or a work of reference).
Caption basically applies to a heading or title (as of a document, an article, a chapter, or a section). But the implication of a catching or arresting quality in the title is often evident, and caption may refer to a title or name given a story, an article, or an illustration that is designed to seize the attention of the reader. The term caption is also used interchangeably with legend for the printed statement describing or explaining a picture or illustration.
Caption is also used in motion pictures for any of the brief statements or bits of dialogue thrown on the screen to explain the scenes of a silent motion picture or of a sound motion picture in which the actors speak in a foreign language.