Both are the building blocks of any Software(a collection of programs).
Program = Algorithms(processing/logic) + Data Structures (temporary memory)
Data Structures are tools for storing more than one data items at a time using a single name. They work as our short-term memory while we do mental calculations.
Algorithms are like the mental calculations/thinking that we do while solving a problem or performing some task.
Both together make a small replica of human brain.
Data structures should be learnt first because algorithms use them.