I have the same question, anybody?
What I know is that thekey is NEO platform project and more target Chinese market, but other difference I'm not sure.
SelfKey has a marketplace with real life products across 10 verticals and values their users privacy.
ID data is never stored in their database nor in the blockchain. Its a quite clever system to absolutely minimize exposure of sensitive data.
Give the blog article a read!
Or even better, the whitepaper.