They sit on the same shelf, they're both labelled "cervical", and they cost roughly the same. But buying the wrong one is a near-guaranteed waste of money. Here's the no-fluff difference.
Cervical pillow — what it actually does
A cervical pillow is a sleeping product. Its job is to keep your neck in neutral alignment for the seven or eight hours you spend horizontal each night. The contoured shape props up the natural curve of your cervical spine so the muscles can fully relax.
Use a cervical pillow if you wake up with a stiff neck, if you sleep on your back or side, or if you've had any history of cervical strain.
Cervical collar — what it actually does
A cervical collar is a daytime support. Its job is to limit how much you can rotate, tilt or extend your neck — usually after an injury, a flare-up, or to relieve a specific nerve compression.
A soft collar gently restricts motion and reminds you to keep your head neutral. A hard (Philadelphia-style) collar is for serious immobilisation and should only be worn under medical advice.
Rule of thumb
If you're asking the question while standing up, you probably want a collar. If you're asking while lying in bed, you want a pillow. Some people end up needing both — there's no overlap.
Which one comes first
For most people, the pillow is the higher-leverage purchase. You sleep every night without exception. A pillow that holds your neck straight for eight hours is doing more work than a collar you forget to put on after lunch.
A collar is a tool for specific, episodic problems. A pillow is daily preventive infrastructure.
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