The full name of Opus Dei is The Priestly Society of the Holy Cross and Opus Dei. Technically speaking, lay people belong to Opus Dei, and priests belong to the Priestly Society of the Holy Cross. But it is common to refer to both lay people and priests as belonging to Opus Dei.
Men who were numeraries or associates in Opus Dei before they were ordained are known as numerary or associate priests, respectively. Their boss is the prelate of Opus Dei, who gives them their assignments and is responsible for their upkeep. In technical terms, these priests are “incardinated” in Opus Dei.
Men who were priests before they joined Opus Dei are known as supernumerary priests. Their boss is the bishop of the diocese in which they live, who gives them their assignments and is responsible for their upkeep. They are incardinated in the diocese. They have joined Opus Dei for the spiritual direction they can get. They do not answer in any way to the authorities in Opus Dei for their work as a diocesan priest.
With the permission of their bishop, diocesan priests may also join Opus Dei as “associate” priests, and this is where it gets confusing. These priests still belong to their bishop, but he has made them more available than supernumerary priests to assist in Opus Dei’s apostolates. It gets even more confusing because there are the “other” kind of associate priests, whose boss is the prelate of Opus Dei. So when you hear of an “associate priest of Opus Dei” it could be either an associate of Opus Dei who was ordained for the Prelature, or a priest of a diocese who is also an associate in the Priestly Society of the Holy Cross. The first “belongs” to the prelate of Opus Dei, and the second “belongs” to the diocesan bishop.
Clear as mud?