Yes: a coloured pencil is a coloured pencil, it is made of wood, but it has a coloured core instead of a black lead core. These things might be called colouring pencils occasionally, because they are used for colouring.
A crayon is completely different: it is made of coloured wax.
I must admit I am surprised at Kate's answers: every British child gets to play with coloured pencils and crayons at school, it baffles me how she could have forgotten.
Also, for the record, schoolchildren in the US are equally blessed, the terms mean the same.there as in the UK, despite the difference in spelling.