These are two separate legal systems that overlap, and confusing them is the most common substantive error in reporting on this subject.
The core difference
Sanctions ask who. Is this counterparty restricted, is this property blocked, is this party owned by someone designated.
Export controls ask what, where and for what. Is this item controlled, is this destination licensable, is this end use permitted.
An item can be freely exportable to one country and licensable to its neighbour. The same shipment can be lawful for a civil end user and prohibited for a military one, with no change in the parties at all.
The Entity List trap
The clearest practical consequence. The Entity List is an export control instrument: being on it imposes a licence requirement, usually with a presumption of denial, on exports of controlled items to that party. It does not freeze property and it does not prohibit all dealings.
The SDN List is a sanctions instrument: being on it blocks property and generally prohibits dealings.
Treating them as interchangeable produces both false positives — refusing lawful business with an Entity List party — and false negatives, which are worse. The list pages for the Entity List and the SDN List set out exactly what a hit on each one obliges you to do, and the Consolidated Screening List bundles both into a single file without changing either obligation.
Why both systems have extraterritorial reach, differently
Sanctions reach outward through the currency: a dollar payment touches a US institution.
Export controls reach outward through the item: goods subject to the Export Administration Regulations remain subject to them after they leave the United States, and the de minimis and foreign direct product rules extend that to goods made entirely abroad.
Those are different mechanisms with different triggers, and a transaction can be caught by one and not the other.