I'm not some big technical guy, but there is a pretty fundamental difference in how the protocols work. Mastodon uses ActivityPub, Bluesky uses the AT Protocol.

ActivityPub is like email, it's an exchange protocol. So basically you create a link between two accounts by "following" and that says "whenever A posts something, deliver it in this format to B".

ATProto is a bit more complex. It's based around the idea of nodes. A node in this sense is basically a pile of letters. If I decide to post something, that letter gets thrown into the pile with some info like user tags, etc. Another user somewhere else who follows me is in essence just telling their client "pull out all the letters that A has thrown into this pile and shown them to me". And then you have a front facing client that displays the result of that filter in a convenient way. On the one hand, this is why topic lists (I think called collections?) are much easier/better in Bluesky because at the end of the day it's just another filter onto the pile, whereas with an ActivityPub based collection would be a bit more complicated.

In practice what this basically means is that Bluesky is federated in name only. If the Bluesky board decided one day that you couldn't post about cats, but I really wanted to post about cats, I would have to then host the node, the filtering apparatus, and (potentially) the front end. The node hosting specifically is the most technically onerous. If I wanted the Catsky node to federate with the Bluesky node, I would need to set up a tunnel between the two, then posts from Bluesky that the Catsky users would want to see would also be deposited into my node meaning my storage requirements would go up quickly. Conversely, you can run a stable Mastodon instance on a raspberry pi because you only need to be able to store what you want to see, not the entirety of the platform. I personally have only heard of one other successfully hosted node (Blacksky for Black Twitter refugees) and I'm not sure it federates with Bluesky.

In the end, Bluesky works a lot like OG Twitter, which was just a lump of storage and the actual product was the API, but with a couple ropes dangling out the sides with a sign saying "go ahead, hook up, and federate, we don't mind". This is unsurprising as Bluesky and the ATProto were made in essence by the OG Twitter people