The distances between stars are huge. The distance from the Sun to Proxima Centauri is 4.22 light years which is equal to forty trillion kilometres. To walk this distance would take you about one billion years. Even our fastest space probes would take sixty thousand years to travel this distance. There are currently four space probes leaving the solar system - Pioneer 10 and 11, and Voyager 1 and 2 but we will probably lose contact with all of them within twenty years. This diagram below which zooms out from the inner solar system to the Alpha Centauri system, shows just how large this distance is.
Are there any objects between the edge of the solar system and the nearest star? Well there are certainly many asteroids just beyond the orbit of Pluto. This is called the Kuiper belt and may contain tens of thousands of asteroids and it is probably material left-over from the birth of the solar system.
At a far greater distance of one light year it is suspected that we are surrounded by a vast cloud of ice-rich asteroids. There may be several hundred billion of these ice asteroids scattered over a huge area. This cloud is called the Oort cloud and it is believed to be the source of comets. Occasionally a few of these ice asteroids get nudged inwards towards the Sun and when they enter the solar system the ice starts to evaporate and the asteroids become comets. Usually the comets fly back out of the solar system again, but occasionally they get forced into short period orbits and remain within the solar system.