They are interchangeable, but I would say that 'start' would be for something quite short term, which will be completed, for example, to start a race, to start watching a film to start preparing dinner and 'begin' for something a bit longer term, begin a project, begin to learn a language, or an activity which may be carried out intermittently, begin to tackle the garden.
The use of either would be understood, this is a small distinction.