They are both horses, so they are the same species (latin name of the species: Equus ferus and both Clydesdale and thoroughbred hourses are also domesticated horses, Equus ferus caballus)
however, they are different: the Clydesdale horses are more calm and more useful for drawing (carriages) and thoroughbred horses are more active.
So the best answer is:
They are the same species and have different traits.
