MDL SDfiles are files related to MDL Molfiles the major difference is that they are especially useful at depicting a molecule's 3D structure. They can depict 2D structure to, but they usually make everything explicit (showing hydrogens and all). Compared to PDB files they have the advantage of giving information about bond type (e.g., they contain details about whether a bond is single, double or triple in nature), but the disadvantage of making no distinction between small molecules and macromolecules (like proteins and nucleic acid-based structures like DNA or RNA). So in summary they are best reserved for depicting the 3D structure of small molecules.
↑Dalby, A; Nourse, JG; Hounshell, WD; Gushurst, AKI; Grier, DL; Leland, BA; Laufer, J (1 May 1992). "Description of several chemical structure file formats used by computer programs developed at Molecular Design Limited". Journal of Chemical Information and Modeling32 (3): 244–255. doi:10.1021/ci00007a012.