FSx for Windows

- Amazon FSx for Windows File Server provides a fully managed native Microsoft Windows file system so you can easily move your Windows-based applications that require file storage to AWS.
- Amazon FSx is build on Windows Server.
                                    

Windows FSx	EFS
A managed Windows Server that runs Windows Server Message Block (SMB)-based file services	A managed NAS filer for EC2 instances based on Network File System (NFS) version 4
Designed for Windows and Windows applications	One of the first network file sharing protocols native to Unix and Linux
Supports AD users, access control lists, groups and security policies, along with Distributed File System (DFS) namespaces and replicaton.

FSx for Lustre

- Amazon FSx for Lustre is a fully managed file system that is optimized for compute-intensive workloads, such as high-performance computing, machine learning, media data processing workflows, and electronic design automation (EDA).
- With Amazon FSx, you can launch and run a Lustre file system that can process massive data sets at up to hundreds of gigabytes per second of throughput, millions of IOPS, and sub-millisecond latencies.
                                    

Lustre FSx	EFS
Designed specifically for fast processing of workloads such as machine learning, high-performance computing, video processing, financial modeling, and electronic design automation.	A managed NAS filer for EC2 instances based on Network File System (NFS) version 4
Lets you launch and run a file system that provides sub-millisecond access to your data and allows you to read and write data at speeds of up to hundreds of gigabytes per second of throughput and millions of IOPS.	One of the first network file sharing protocols native to Unix and Linux

When to use what?

EFS

When you need distributed, highly resilient storage for Linux instances and Linux-based applications.

Amazon FSx for Windows

When you need centralised storage for Windows-based applications such as Sharepoint, SQL Server, IIS or any other native Microsoft Applications.

Amazon FSx for Lustre

When you need high-speed, high-capacity distributed storage.
This will be for applications that do High Performance Compute (HPC), financial modeling etc.
Remember that FSx for Lustre can store data directly on S3.