What if I told you that technically speaking, the Moon does not orbit the Earth, and the Earth doesn't orbit the Sun, and that the Sun orbits something that is nothing? Welcome to the world of barycenters, which seem to be skipped over in elementary school science, though for good reason. It would be a mouthful for the students to learn.
In the Earth-Moon system, the Earth does not orbit the Moon, and the Moon does not orbit the Earth. Rather, they orbit a common center of mass, referred to as the Earth-Moon Barycenter, or just barycenter if the situation is unambiguous (as you will see later, you can have multiple barycenters).
The Moon tugs on the Earth with the same force that the Earth tugs on the Moon. Therefore, the orbit looks more like this:

The Moon has roughly 1.2% the mass of the Earth. Therefore, the Moon should orbit roughly 83x further away (it's just $\frac{100}{1.2}$) from the barycenter than the Earth does. The Moon's semi major axis is 385000 km. Therefore, the Earth's semi major axis around the Earth-Moon barycenter (not the Sun) is roughly 4500 km. And that is the case, as shown below. The diamond symbol is what Space Engine uses for barycenter symbols.

If we zoom in we see the Earth's orbit around the barycenter:

Because the Moon has such a low mass compared to the Earth, the barycenter is actually located inside the Earth. As the Moon slowly travels away from the Earth in the next few hundred million years, the barycenter will slowly leave the Earth's surface.
Can the barycenter be located outside of the planet? It sure can. The Pluto-Charon system looks a bit like this:

In Space Engine it looks like this (brightness increased to you can actually see it):

What about the Sun-Earth system? Well the problem is that the Sun is also affected by all the other planets in the solar system. The sum of all these interactions is where the Solar Systemic Barycenter is located. It doesn't travel in a nice circle though, but it is mostly affected by Jupiter since Jupiter is the most massive planet in the Solar System. It looks like this:

How about binary stars? Well it's pretty much the same thing. Here's $\alpha$ Centauri.
Ok, last thing, how about systems with 3 or more stars? Well here's the thing. barycenters can orbit other barycenters. The Castor system is a sextuple (6) system. Here's what it looks like:

Those three points of light are actually two stars orbiting very closely together, so that they look like one star. So to answer you question, no they don't orbit anything really, but they instead orbit a common barycenter, and we determine what orbits what by seeing if it goes around that barycenter.