Ya Wen,
There are some similarities and differences. Both are adverbs that intensify the intensity of gradable adjectives.
Imagine two extremes of a temperature scale. At 100 degree Celsius, pure water boils. At 0 degree Celsius, it freezes. "Boiling" and "freezing" are participial adjectives that are ungradable because they are two extremes on a scale. The water is either "boiling" or "not boiling; it cannot be "slightly boiling". "Hot, on the other hand, is a gradable adjective. You can use some adverbs of degree such as "quite", "very" or "really" to modify the "hotness" of something, just as you would adjust the temperature of an oven with your thermostat.
A: The water is very hot.
B: The water is really hot.
Here is one difference: In A, the water is hot enough to scald you badly. In B, you are telling someone truthfully or factually that the water is hot. We use "really" to emphasise on the truth or reality, and to convince someone of what we are saying.
D: He really kicked me!
E: He very kicked me!
E is wrong as "very" does not modify another verb (i.e. kicked). "Really," on the other hand, does.
F: I like it very much.
G: I like it really much.
We do not use "really" to modify certain adverbs such as "much".
Here you go: similarities, differences and rules.