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The dictionaries I'm using as sources are:

Merriam-Webster

American Heritage

Collins

Cambridge

Macmillan

Oxford Living Dictionaries

Random House Unabridged

"All dictionaries" = "All six above dictionaries I checked"

Moniker

This task is harder than I had anticipated. I'll start with the easy stuff.

The word moniker (also spelt monicker) is very simple, because in all dictionaries it's defined as nothing more interesting than a name, nickname or alias. Wikipedia doesn't have an article entry for moniker, it's simply merged with nickname. Sobriquet and epithet do have their own articles in Wikipedia.

Three dictionaries mark the word as "slang", two as "humorous" and one as "informal". So it's established, I believe, that moniker is just a nickname.

Sobriquet

As to the definitions of sobriquet, 4 say that a sobriquet is a nickname, plain and simple. However there are two that say that a "sobriquet" can be an "epithet".

sobriquet
a descriptive name or epithet : nickname
Merriam-Webster

(Literary & Literary Critical Terms) a humorous epithet, assumed name, or nickname
Collins

So a sobriquet can be an epithet?

Nickname

Here's another problem, under the Wikipedia article for nickname it lists names that are found also in the sobriquet article. For example:

:

Nicknames may be derived from or related to what the person is well known for.
- The Duke for John Wayne
- The Angel of Death for Josef Mengele

These two so-called nicknames also appear in in the sobriquet article.

So I'm finding things very confusing already without even getting on to the topic of epithet.

Epithet

I'm surprised that a common understanding of epithet by some is that it's primarily an insult.

It's true that every dictionary, without exception, lists the offensive or insult meaning of epithet, but it's always in second or third position, meaning the dictionaries feel (yes, they have feelings) that the primary meaning is in describing names like:

Epithet

Alfred the Great

Suleiman the Magnificent

Władysław I the Elbow-high

Richard the Lionheart

Charles the Fat

Charles the Bald

Alexander the Great

Constantine the Great

Ivan the Terrible

Vlad the Impaler

William Safire writes about the derogatory meaning of epithet in 2008:

In the past century, [epithet] blossomed as 'a word of abuse,' today gleefully seized upon to describe political smears.

Though if I had to guess I'd say it's more common in the phrase racial epithet, I'm not sure.

Contrast, comparison, and complications

Anyway, so at least with epithet there seems to be a distinguishing feature. Whereas the list of sobriquets went something like:

"Iron Lady" (Thatcher)

"Bloody Mary" (Mary I)

"The Donald" (US President Trump)

"Dr Death" (That assisted suicide doctor, Kevorkian)

The epithets go something like:

Joe the Big-Nosed

Harold the Highfalutin

etc.

But there's a couple of other problems.

If I look up Queen Mary I on Encyclopaedia Britannica it starts:

Mary I, also called Mary Tudor, byname Bloody Mary...
Article link

So Bloody Mary is her byname here. And if you look at the first sentence in the Wikipedia epithet article, it starts off:

An epithet is a byname, or a descriptive term (word or phrase), accompanying or occurring in place of a name and having entered common usage.
Epithet Wikipedia article

So is Bloody Mary an epithet, epitaph, nickname, sobriquet, tourniquet or what?

Also notice what it says in that sentence, "a descriptive term (word or phrase), accompanying or occurring in place of...". Accompanying would be Richard the Lionheart. In place of would be The Lionheart. If this is true, then Iron Lady and Bloody Mary can also be epithets.

This sentence about the description either accompanying or replacing the name recurs in the dictionary definitions of epithet:

epithet
1a : a characterizing word or phrase accompanying or occurring in place of the name of a person or thing
Merriam-Webster

epithet
a descriptive word or phrase added to or substituted for a person's name:
"Lackland" is an epithet for King John.
Collins

Oh, and this also:

epithet (n.)
1a. A term used to characterize a person or thing, such as rosy-fingered in rosy-fingered dawn or the Great in Catherine the Great.
b. A term used as a descriptive substitute for the name or title of a person, such as The Great Emancipator for Abraham Lincoln.
American Heritage

So it's possibly both. Another thing I'm confused about is the fact that "Mahatma Gandhi", whose name is actually Mohandas Gandhi, is listed in the sobriquet article.

By clicking into the "Mahatma" article you see that "Mahatma" is called an epithet. Encyclopaedia Britannica calls the name "Mahatma Gandhi" a byname. Merriam-Webster and Oxford Living Dictionaries define "byname" as a nickname or secondary name.

Conclusions and confusions

All these definitions have left me quite confused. Given the above information I don't think I can even say what an epithet is most of the times in contrast with a sobriquet. And I have a feeling that a nickname and by extension moniker is a hypernym of at least sobriquets.

As far as a distinction between a moniker (nickname) and the other two is concerned, I believe it's safe to assume that a nickname of Ed for Edward, Jim for James, Sue for Susan, or Liz or Elizabeth would only be considered monikers/nicknames, because the shortened names don't describe anything, which is a requirement for both sobriquet and epithet.

However if you had a huge or strong friend and nicknamed him (the) Giant or (the) Ox, I believe this would be a nickname, and a sobriquet, and according to one interpretation of it, even an epithet. Even if you had a friend who always had good luck and nicknamed them Lucky, I think the same applies. And James the Giant or Helen the Lucky would be epithets by any of the relevant meanings you chose, I'm pretty sure.