Caffeine and alcohol have diuretic effects — they signal your kidneys to dump a bunch of extra water into your urine. If you don’t have enough extra water in your system to make up for this “water dump”, you get dehydrated.
That said, coffee, tea, and soda don’t dehydrate you very much because as you noted, you’re consuming a bunch of water along with them — to replace the water you’ll lose. It’s concentrated caffeine such as straight espresso, energy drinks, or caffeine pills that will leave you with a water “deficit”.
Alcohol depends on concentration. 5% beer will very slightly hydrate you. 13% wine will only dehydrate you a little. 40% liquor, though, will definitely leave you in a bad way. In fact, most of the cause of a hangover is dehydration, which is why liquor typically causes the worst hangovers (unless you also chug a bunch of water to compensate).
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