All of these are electromagnetic waves and they all travel at the same speed (the speed of light). However, they have different interactions with matter. If you are inside, your mobile phone can still get data from a cell tower since these radio waves pass through most walls. Can you see through the walls? No. Visible light does not pass through most walls. X-rays mostly go through your skin, but you can’t see (with visible light) through skin – that would just be weird.
Technically the interaction with light and matter depends on the frequency of light – but since frequency and wavelength are related, we can just talk about the wavelength.