That's almost correct! Here's the correct order from smallest to largest:

1. Sun: Our star, the center of our solar system.

2. Solar System: The collection of planets, moons, asteroids, and other objects orbiting our sun.

3. Milky Way: The galaxy containing our solar system, consisting of billions of stars, gas, and dust.

4. Universe: The vast expanse of space and time containing all the galaxies, stars, planets, and everything else.

Let me know if you have any other questions!