I'm evaluating test framework, lint and code coverage options for a new Python project I'll be working on. 
I've chosen pytest for the testing needs. After reading a bunch of resources, I'm confused when to use Sonarcube, Sonarlint , pylint and coverage.py.
Is SonarLint and Pylint comparable? When would I use Sonarcube?
I need to be able to use this in a Jenkins build. Thanks for helping!
Nicholas has a great summary of Pylint vs Sonarlint.
(Personally I use the Sonarlint)
Although the question is older, I thought I'd answer the other part of your question in case anyone else has the same question; internet being eternal and all.
Coverage.py as it sounds, runs code coverage for your package. SonarQube then uses the report that coverage.py makes and does things with it and formats it in a way that the Sonar team decided was necessary. Coverage.py is needed if you want to use SonarQube for code coverage. However, if you just want the code smells from SonarQube, it is not needed.
You were also asking about when to use SonarQube, coverage.py, and Jenkins.
In Jenkins, you would create a pipeline with several stages. Something along the following lines:

Check out code (automatically done as the first step by Jenkins
Build code as it is intended to be used by user/developer
Run Unit Tests
run coverage.py
run SonarQube
Python - Difference between Sonarcube Vs pylint