The glycocalyx is on the outside of the cell wall, peptidoglycans make up the cell wall.
So from innermost to outermost:
Bacterial membrane - cell wall - glycocalyx
Peptidoglycans: main function = maintain cell structure and resist turgor pressure
glycocalyx: Not all bacteria have this, depending on the makeup of the glycocalyx, it can serve different purposes but mainly protects the bacteria from dehydration and loss of nutrients but can sometimes allow the bacteria to adhere to surfaces.
Hope that helps! =]