In the most general sense, it just means there's a change. In this case you can have a charge gradient or osmotic gradient or concentration gradient, or all.
A gradient isn't the space itself, just the fact that there's a difference. You have to specify the points between which there's a gradient, e.g. "a gradient across the membrane" (most typically), meaning it's not the same on both sides.
An electrochemical gradient can consist of all the above. E.g. if you have more protons on one side than on the other (all else being equal), you have a charge gradient, since they're ions, a concentration gradient since you have different concentrations (i.e. even if they didn't carry a charge, there would be potential energy from the concentration difference), and an osmotic gradient, since you have a difference in ionic strength (i.e. if you had counterions for every proton, negating the charge gradient, you'd have more dissolved salt on one side, and so osmotic pressure). Obviously these aren't necessarily independent of each other.