They shouldn't be the same as they're designed for different purposes. An ORM entity is a facade for 1 or more tables, its purpose is to simulate OOP on top of relational tables. A Domain Entity is about defining a Domain concept. If your Domain Entity turns out to be just a data structure, then you can reuse it as an EF entity, but that's just one case.
A DDD app never knows about EF or ORM. It only knows about a Repository. Hence, your Domain Objects (DO) don't know either about EF. You can choose to consider them EF entities, as an implementation detail, BUT... you should do that ONLY after your DOs are defined and their use cases implemented. You should defer as much as possible the implementation of persistence (use in-memory repos (lists) for devel).
When you reach that point you'll know if you can reuse your DO for ORM purposes or if you'll need other ways (such as a memento).
Note that a design of a DO while driven by the Domain, it should take into consideration the persistence issue, but it shouldn't be influenced by it i.e don't design your DO according to the db schema. The persistence strategy can be different for each DO and it might involve or not an ORM.
If you're using Event Sourcing for a DO, ORM doesn't exist. Same for serialized objects. It matters a lot how an object will be used by the app (updating and querying), that's why I've said you should defer the persistence implementation. For a lot of DOs you won't need a rdbms (even if you're using it) so an ORM entity will look more like a KeyValuePair (Id => serialized data).
In conclusion, they are different things for different purposes, that might look identical for some cases (CRUD scenarios).