They have overlapping meanings. They can be interchanged. "Understand" is an everyday word. It often means something very basic. "Comprehend" suggests a deep level of understanding. It is a little formal and elevated. It is not used very frequently.
"I'm sorry, this is a bad connection. Please repeat what you said, I didn't understand you."
"I could always understand every word Alan Greenspan said, but I could never comprehend what he meant."
"I cannot comprehend..." is sometimes used as a strong statement of rejection. "I simply cannot comprehend why you would cancel the meeting at the last minute when you know that dozens of people have made travel plans to be here."