In a propeller aircraft, basically you waste the energy left in your exhaust gas. But in a turbojet you make some use of it.

Also there is the distinction between just propeller, a turboprop, a turbojet and a turbofan. What we call jet airliners are typically high bypass turbofans. Turbojets (without bypass) have low efficiency at subsonic speeds, but they were used on Concorde and on fighter aircraft.