They are not even close to the same thing. Chili powder is one of those distinct tastes found in Mexican food, is dark red, almost black and can be hot or mild. Cayenne is simply the pepper of the cayenne plant dried and ground fine. It is a brighter red and hot, but can vary in intensity. As far as I know, chili powder doesn't have any medicinal or healing characteristics, where as cayenne is a wonderful healing and cleansing herb.