There should not be difference between One or other, at the end, every code should be translated to machine language in orden to run on a computer, it’s possible that the translation process be harder in some cases that others, however, that translation process could be harder for python (some cases) and for SQL (some other cases).

My recomendation is that you use every language for every use case.

SQL as a first option and when you have to process bunch of data on a structured format.

Python when you have certain complexity not supported by SQL.

Regards