The US space agency announced the concepts following an extensive and competitive peer review process.
The concepts were chosen from 12 proposals submitted in April under a New Frontiers programme announcement of opportunity.
"This is a giant leap forward in developing our next bold mission of science discovery," said Thomas Zurbuchen, from NASA's Science Mission Directorate in Washington.
"These are tantalizing investigations that seek to answer some of the biggest questions in our solar system today," said Zurbuchen.
Comets are made up of materials from ancient stars, interstellar clouds, and the birth of our solar system.
The CAESAR sample will reveal how these materials contributed to the early Earth, including the origins of the Earth's oceans, and of life.
Led by Steve Squyres of Cornell University in the US, CAESAR would be managed by NASA's Goddard Space Flight Center.
Dragonfly is a drone-like rotorcraft that would explore the prebiotic chemistry and habitability of dozens of sites on Saturn's moon Titan, an ocean world in our solar system.
The CAESAR and Dragonfly missions will receive funding through the end of 2018 to further develop and mature their concepts.
NASA plans to select one of these investigations in the spring of 2019 to continue on to subsequent mission phases.
The selected mission will be the fourth in NASA's New Frontiers portfolio, a series of principal investigator-led planetary science investigations that fall under a development cost cap of approximately USD 850 million.
Its predecessors are the New Horizons mission to Pluto and a Kuiper Belt object known as 2014 MU69, the Juno mission to Jupiter, and OSIRIS-REx, which will rendezvous with and return a sample of the asteroid Bennu.
The Enceladus Life Signatures and Habitability (ELSAH) mission concept will receive funds to develop cost-effective techniques that limit spacecraft contamination and thereby enable life detection measurements on cost-capped missions.
The principal investigator is Chris McKay of NASA's Ames Research Center in California's Silicon Valley.
Led by Lori Glaze at Goddard, the Venus In situ Composition Investigations (VICI) mission concept will further develop the Venus Element and Mineralogy Camera to operate under the harsh conditions on Venus.
The instrument uses lasers on a lander to measure the mineralogy and elemental composition of rocks on the surface of Venus.
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