In my opinion they mean the same thing, but the emphasis is not quite the same. So while either choice will still be technically correct, often one will be more natural.
I think that "different" is more usual when the alternative would be "the same", whereas "distinct" is more usual when the alternative would be "not necessarily distinct" (which might not be explicit).
In your example, sometimes you will want to say "$x$ and $y$ are in different components", and sometimes you will want to say "$x$ and $y$ are in the same component", but you would not normally need to say "$x$ and $y$ are in (not necessarily distinct) components of $G$". (The exception would be if you are giving the components of $x$ and $y$ names, and simultaneously noting whether they are necessarily distinct.)
On the other hand, we might want to write "let $m$ and $n$ be distinct positive integers" or "let $m$ and $n$ be (not necessarily distinct) positive integers", but it would seem strange to write "let $m$ and $n$ be the same positive integer".