Is there a difference between 8-pin EPS12V and PCI-E connectors?

They are completely different.

The EPS connector is meant to supply power to a motherboard cpu socket while the PCI express connector is meant to supply power to a GPU.

You shouldn't be able to switch between them - the square and rounded off connectors are arranged such that you can't. Note the top left connector on the EPS 12V is squared off, while that on the PCIe is rounded off in the image before.Essentially differences like that are to prevent you from plugging in a PCIe connector into a EPS12V. There may be other differences, but I don't have these connectors on hand/

The power connectors are different - while they're both 12V (yellow) and ground (black) the row closer to the clip of the PCIe connector is ground, and the bottom is 12V, and its the other way around on the EPS 12V.

Here's a much bigger/better picture of them taken from the computer hardware chart done by Sonic840 on Deviantart (CC BY-SA)

Attempting to switch between them will result in physical damage, from attempting to fit physically different connectors and electrical damage, from reversing the power feeds to the device. I'd recommend inspecting the connectors (which are typically labelled), as well as the order/colour of the power cables connected to the connector in working out what a cable is. Connectors themselves however are not typically colour coded in any way.

it should be said, as this generate a doubt for non used user, that all the sockets (on a modular power supply) that are marked CPU/ PCI-E are identical. One could think a part of them are for CPU (12V) and the rest for PCI-E. In fact it is the cable itself that swap 12V pins and GND pins to comply with the mother board pin arrangement.