Azure CLI is a cross-platform command-line program that connects to Azure and executes administrative commands on Azure resources. Cross platform means that it can be run on Windows, Linux, or macOS.
Azure PowerShell is a module that you add to Windows PowerShell or PowerShell Core that enables you to connect to your Azure subscription and manage resources. Azure PowerShell requires Windows PowerShell to function. PowerShell provides services such as the shell window and command parsing. Azure PowerShell then adds the Azure-specific commands.
However, the Azure PowerShell and Azure CLI commands have different syntax. For example, Azure PowerShell provides the New-AzVM command that creates a virtual machine for you inside your Azure subscription while to create a Virtual Machine using Azure CLI you must use the command az vm create.