there's not enough context to give you a full, correct answer. They could be the same, or different. It depends on the context.
You were at your friend's family home for the holidays. In the middle of the dinner, his mother and father had a very big argument in front of everyone at the table. You tell this to a friend, and he says, "Ugh. That doesn't sound pretty."
That means -- it sounds like it was a bad or uncomfortable situation
sounds bad --
this could have a literal meaning (HOw do you like the new recording of Ms X? I think it sounds bad." or figurative. "I just heard on the news that there's a hurricane heading our way." Oh, that sounds bad.