What difference is there between pickles and piccalilly?

There are generally two variants to pickles. A mustard based pickle such as piccalilli and a sweet pickle, a good example being the Branston pickle. The mustard based pickle are spicier in taste and yellowy in colour, using either mustard or turmeric.
The sweeter Branston pickle is brown in colour and uses a combination of spices such as mustard, coriander, garlic, cinnamon, pepper, cloves, nutmeg and cayenne pepper.

There are commercially made ‘sweet mustard pickles’ that are yellow in colour. There is very little difference between these and your standard piccalilli. The differences mainly lie in the types of vegetables used.

https://en.wikipedia.org/wiki/Relish
https://en.wikipedia.org/wiki/Piccalilli
https://en.wikipedia.org/wiki/Branston_(food)
Also The Margaret Fulton Encyclopedia of Food and Cookery (Octopus Books, 1983)

A pickled cucumber, most often simply called a pickle in the United States and Canada, is a cucumber that has been pickled in a brine, vinegar, or other solutions and left to ferment for a period of time. There are also such things as pickled onions and pickled beets. Piccalilli is more of a relish.

https://en.wikipedia.org/wiki/Pickled_cucumber

In Flanders, Belgium, piccalilli (or "pickles" as the relish is called in Dutch), is mostly eaten on fries.

[See above reference for piccalilli]

What I saw in England as pickles is definitely not similar to what is understood by that name in Belgium. http://www.belgiumbymail.com/item_list/devos_lemmens/devos_lemmens_belgian_pickles.html
And then there is still the chutneys from the Indian cuisine.

Pickles are something preserved in a brine or marinade.

Piccalilli is a pungent relish of East Indian origin, made of chopped vegetables, mustard, vinegar, and hot spices.

http://dictionary.reference.com/