They are basically the same thing, with the same ingredients, the only difference is the way that they are served. Thousand Island sauce is very popular in the U.S and is used as a salad dressing or on burgers and sandwiches. It sometimes has horseradish mixed into it or some chopped onion, which is the only difference in ingredients. A Marie Rose sauce is more traditional in the UK and is used as a seafood sauce, which is why you will find it on prawn cocktail.