They are not always the same, but sometimes they can be used interchangeably depending on what meaning you are trying to give.
The word "so" can replace the world "very" in a sentence like "I love my family very much!" You could also say, "I love my family so much!" and either sentence would be correct.
The word "so" is also a conjunction, and when used in that way, it no longer has the same meaning as the word "very." An example of using "so" as a conjunction could be something like, "I left my keys at home, so I had to go back and get them." In this case, you would be using "so" to demonstrate a "cause and effect" relationship between the two clauses in that sentence.