If my logic doesn't fail me, it's the same difference as between "kde" and "kam". (I'm starting to see patterns in question words and term that relate to them). "Kde" and "jinde" both refer to a place, while "kam" and "jinam" refer to a direction or a verb of motion instead.
Take the following sentences as an example:
Kde jste? - Where are you?; Jsem jinde - I am somewhere else?
Kam jdete? - Where are you going (to)?; Jdu jinam - I am go somewhere else?
On a related note I wouldn't be surprised if besides nikde (nowhere), nikam also exists. Then you could have a sentence like:
Ta nová ulice vede nikam. - That street leads nowhere.