Cursor include an agent that can write code for you, fix errors on its own. Copilot is mostly autocomplete.

Cursor is far superior at indexing files, i.e. knowing which part of the code does what. This is probably their special sauce. There's some codebases that it can't index and Copilot works better there.

Like IDE vs text editor, some people have different comfort levels on how much code is written by the AI. Copilot is lighter, Cursor is in the middle, and on the other extreme, you have Devin which you chat with like it's a person.