side effect vs consequence

side effect and consequence both are nouns.

Word	Noun	Adjective	Verb	Adverb
side effect	Yes	No	No	No
consequence	Yes	No	No	No

As nouns, consequence is a hypernym of side effect; that is, consequence is a word with a broader meaning than side effect:

side effect: any adverse and unwanted secondary effect
consequence: a phenomenon that follows and is caused by some previous phenomenon

Other hypernyms of side effect include effect, event, issue, outcome, result, upshot.

side effect (noun)	consequence (noun)
any adverse and unwanted secondary effect	having important effects or influence
a secondary and usually adverse effect of a drug or therapy	the outcome of an event especially as relative to an individual
	a phenomenon that follows and is caused by some previous phenomenon