The SQL keywords are case insensitive (SELECT, FROM, WHERE, etc), but they are often written in all caps. However, in some setups, table and column names are case sensitive.
MySQL has a configuration option to enable/disable it. Usually case sensitive table and column names are the default on Linux MySQL and case insensitive used to be the default on Windows, but now the installer asked about this during setup. For SQL Server it is a function of the database’s collation setting.
Here is the MySQL page about name case-sensitivity
Here is the article in MSDN about collations for SQL Server