The best way to understand this is to appreciate that except for single electron atoms the orbitals are approximations that do not really exist, and to understand what the energy of an orbital is requires an understanding of the approximation.
If we take a single electron atom like the hydrogen atom then the force on the single electron is central so the potential is spherically symmetric. In this case we can solve the Schrodinger equation analytically and we get the well known $1s$, $2s$, etc functions. Although these are often referred to as orbitals they are actually the wavefunctions that the single electron can have. For more on this read Emilio's answer to What do atomic orbitals represent in quantum mechanics? As wavefunctions these have well defined properties associated with them e.g. $|\psi_{1s}|^2$ gives us the probability distribution for the $1s$ state, and the energy of the $1s$ orbital is:
$$ E_{1s} \psi_{1s} = H \psi_{1s} $$
This energy is the total energy of the atom i.e. of the electron-nucleus system. You can split it into kinetic, $T$, and potential, $V$, energy parts and you'll find it obeys the virial theorem $-2T = V$. So far so good.
The problem is that with more than one electron we have forces acting between electrons as well as forces between the electrons and the nucleus. The forces between electrons mean the force is no longer central, and they entangle all the electrons so we cannot write the wavefunction as a product of separate functions for each electron. Instead we get a single wavefunction $\Psi(\mathbf r_1, \mathbf r_2, \cdots, \mathbf r_n)$, where $\mathbf r_i$ is the position of the $i$th electron, and the energy we get from this wavefunction is the total energy of the whole system of the nucleus and all $n$ electrons. Since the electrons are all entangled individual electrons do not have a well defined energy or a well defined probability distribution. We can find only the total energy and total electron probability distribution in the atom.
But it turns out that the interactions between pairs of electrons can be averaged out to produce an approximately central force, and using this approximation we can divide our total wavefunction into separate wavefunctions for each electron. So for lithium we could write:
$$ \Psi(\mathbf r_1, \mathbf r_2, \mathbf r_3) \approx \psi_{1s↑} ~ \psi_{1s↓} ~ \psi_{2s↑} $$
And these functions $\psi_{1s↑}$ etc are the atomic orbitals.
Each orbital has an energy and an electron density associated with them, but these are not the energy and probability distribution of that electron because as we discussed above the electrons are all entangled and cannot be described separately. However if we add up the energies of all the orbitals we will get the total energy of the atom, and likewise for the probability density.