For the most part, yes. From its build to audio quality, there will be differences you'll notice, especially if you came from using an expensive headset to a cheap one. Most expensive gaming headsets use high-quality materials to ensure durability, comfort, and an excellent listening experience. Some headsets are pricey because of their wireless connectivity and surround sound features, which you'll rarely find in cheap headsets.
Even so, some affordable options have been included in our list because they manage to bring to the table an impressive set of features, despite the low price tag.