A "study" is a kind of experiment.
The word "experiment" is more common for "hard" sciences like chemistry, physics, or biology:
They did an experiment and found that light acts as both a wave and a particle.
Experiments in psychology and other fields that involve people are more often called "studies":
I just read about an interesting study on how people respond to changes in prices.
You can use the verb "do" to talk about studies. A more formal and scientific verb is "conduct":
Researchers from the Institute for Health and Wellness conducted a three-year-long study on the effects of a calorie-restricted diet.