A sigma bond is a type of covalent bond that is generally formed via axial overlap i.e. overlapping of orbitals along the internuclear axis.
It can be overlap of two p orbitals (axial), two s orbitals, or an s and a p orbital.
All of the above overlappings will lead to the formation of a sigma bond whereas overlapping of two p orbitals (sidewise) will lead to formation of a pi bond.