Are you comparing or contrasting Juliet and Lady Macbeth? They are very different. Juliet is young and dramatic, and Lady Macbeth is older and more dramatic! Kidding aside, they both exaggerate and go a little crazy when they cannot get their way.
You should first list all the characteristics that each character has. Create one list for Juliet and one for Lady Macbeth. For example, Juliet is a teenager, driven to act by her love for Romeo, headstrong, sensible, etc., and Lady Macbeth is driven to act by her power-hungry nature, of an indeterminate age, married to an important man, driven mad by guilt...
NOTE: These descriptions are meant simply as examples, since part of the task in writing any sort of critical analysis of a text is to come to a decision about what you think is important and support that point of view in your essay. There is no one right answer.
Once you have your lists, look at ways that they are similar and ways that they are different. The key is to decide, when creating your thesis, if they are, to you, more alike or more similar. It is this decision that will help frame your thesis statement.
For example, using the list that I created above, I might write a thesis like this: Though Juliet and Lady Macbeth both appear to be acting in the name of love for their husbands, it is Juliet who is driven to act by her love for Romeo, while Lady Macbeth is driven to act by her lust for power.
Again, please NOTE that this is only meant as an example, and while it is certainly a point of view that could be argued about the characters, it is not the only position that is possible to take.