What's the difference ? Are both used to perform functions in sql side before get data and store them in memory ?
Both used in linq to entites.
As the documentation states EntityFunctions
Provides common language runtime (CLR) methods that expose conceptual model canonical functions in LINQ to Entities queries. For information about canonical functions, see Canonical Functions (Entity SQL).
where Canonical functions
are supported by all data providers, and can be used by all querying technologies. Canonical functions cannot be extended by a provider. These canonical functions will be translated to the corresponding data source functionality for the provider. This allows for function invocations expressed in a common form across data sources.
Provides common language runtime (CLR) methods that call functions in the database in LINQ to Entities queries.
Therefore although both sets of functions are translated into native SQL, SQLFunctions are SQL Server specific, whereas EntityFunctions aren't.