Although they mean the same thing, they are subtly different. To me, 'pretty' is purely visual, you can tell if someone is pretty from a photograph. Beauty is deeper; it can depend on how someone behaves or what their beliefs are. A person does not have to be pretty to be beautiful.
Of course both words can apply to art, places or buildings...a postcard might show a pretty place, but a beautiful place is where you would like to live.