Nope, not made the same at all. Different bullets are made for different applications. Bullets designed for hunting are VERY different than bullets used for target shooting. Basically hunting bullets are designed to have controlled expansion creating what they call a "mushroom" as well as holding together in one piece, thus they penetrate better and do not destroy a lot of meat. Examples of decent hunting bullets would be Barnes X bullets or Nosler Partitions. Other bullets are designed for simply for accuracy/ballistic efficiency and not durability and will simply fragment and not hold together if used for hunting big game. This fragmentation can cause a lot of blood shot meat, inadequate penetration and the risk of wounding an animal. An example of what I'm talking about would be Hornady HPBT bullets. Great for paper, crap for hunting. Also, a lot of bullets are actually designed to be fragile and fragment/expand quickly. And some bullets are just downright cheap and not good for much. As with anything, there are different types for different applications.
There should be a bit more in depth info about the differences if you visit these sites (among others).
www.barnesbullets.com
www.nosler.com
www.hornady.com