We generalize the concept of divergence of finitely generated groups by introducing the upper and lower relative divergence of a finitely generated group with respect to a subgroup. Upper relative divergence generalizes Gersten's notion of divergence, and lower relative divergence generalizes a definition of Cooper and Mihalik. While the lower divergence of Alonso, Brady, Cooper, Ferlini, Lustig, Mihalik, Shapiro and Short can only be linear or exponential, relative lower divergence can be any polynomial or exponential function. In this paper, we examine the relative divergence (both upper and lower) of a group with respect to a normal subgroup or a cyclic subgroup. We also explore relative divergence of CAT(0) groups and relatively hyperbolic groups with respect to various subgroups to better understand geometric properties of these groups.