What are the differences in using Axios vs jQuery for HTTP requests?

I do not see any explicit support for that in the jQuery $.ajax documentation. That being said, it is something you could do with the beforeSend setting. In the beforeSend you would modify the jqHXR to include your XSRF information.

@charlietfl mentioned you can also do this in global ajaxSend() so it is applied to all instances of $.ajax()

This is what axios is doing:

  // `xsrfCookieName` is the name of the cookie to use as a value for xsrf token
  xsrfCookieName: 'XSRF-TOKEN', // default

  // `xsrfHeaderName` is the name of the http header that carries the xsrf token value
  xsrfHeaderName: 'X-XSRF-TOKEN', // default

If you are already using jQuery in your project, and you can handle the XSRF yourself, then use $.ajax().

“Is there anything else that makes it worth using another library like Axios instead of jQuery?”

I would say most definitely. A library dedicated to handling http decouples the process from your application framework or presentation library.