Yes, the density of all elements and compounds are different. The mass of atoms, their size, and how they are arranged determine the density of a substance. Density equals the mass of the substance divided by its volume; D = m/v. Objects with the same volume but different mass have different densities.
Pure materials, they can not have same densities. (Assuming they are not isotopes of each other) but mixtures, compounds or different phases can have same densities.