Epimysium and perimysium are two thin sheath of connective tissues that wrap around skeletal muscles. The difference is that the former wraps externally around each muscle, whereas the perimysium extends inwardly from the epimysium to surround each one of the fascicles that make up a muscle. A fascicle is a bundle of fibers. Each one of these bundles of skeletal muscle fibers is called fascicle. Each muscle fiber of a fascicle is in turn surrounded by another layer of connective tissue; it is called endomysium, which is thinner than the other layers mentioned above.
Thus, these three thin layers of collagen connective tissue (epimysium, perimysium, and endomysium) enclose and separate all parts of a skeletal muscle. This disposition allows the fascicles and fibers to move somewhat independently without getting damaged by sudden muscular contraction. They facilitate transfer of contractile force to muscle attachments. This arrangement of sheets of connective tissue enveloping muscles and fascicles also allows nerves and blood vessels, such as arteries and veins, to run through them.
To summarize, each individual skeletal muscle is externally surrounded by epimysium, which lies directly under the fascia that ends up in the tendon. Each fascicle in turn is wrapped up by perimysium, whereas each muscle fiber is enveloped by endomysium.