Drill-down is used in a single visual. You can create a hirearchy within a single visual that lets you visualize data at the highest level, then let users drill-down into the lower levels of the data to get more details if they want it.
For example, you have a column chart that shows you total sales by Location. You could add in your axis field the product type for each location so that when a user drills down into each location, they could see all of the products sold in that location within that same visual.
https://docs.microsoft.com/en-us/power-bi/consumer/end-user-drill
Drill-through is a feature that applies the filters of a selected data item and applies that through to the page that you're drilling through to.
For example, you have a tab within a report that has column chart with all locations and total sales. You have another tab with a table that has a list of all products sold and that page is enabled for drill through on the location field. When you're on the column chart tab, you can right click a location within your column chart and select to drill-through to that other tab with your table and it will apply the filter to that table for the location you were selected on.
https://docs.microsoft.com/en-us/power-bi/create-reports/desktop-drillthrough
