No significant difference, for our purposes they are more or less the same thing. But KataGo is an open source project out of Jane Street Capital and probably a bit stronger than AlphaGo (which was a Google project that was never released AFAIK). KataGo is also quite a bit bigger than AlphaGo in terms of popularity because people can actually play around with it.

It is like the BSD Kernel vs Linux - in many ways the differences are minor but they are different projects.