Yes, there is a difference between these two.
Government establishment of a religion has to do with the government telling people that they must participate in religion in some way. This is what courts ruled the government was doing when schools had school-sponsored prayers as they did decades ago. In such a case, the government is, arguably, setting up (or moving towards setting up) an official religion. The establishment clause is taken to prevent the government from taking such positive actions to compel certain religious obersvances.
By contrast, the freedom to worship is negative. In other words, it protects people from government efforts to prevent them from religious observance. In the public schools, for example, this right ensures that students can engage in prayer or other religious activity so long as it is not disruptive. That is why a school could not ban students from doing the "prayer at the flagpole" type of things that some groups engage in before school.