You probably can use them interchangeably in everyday life, however, the OED notes the distinction between
Four Europeans and two Americans comprise the team (=they make up the team)
And
The team is comprised of 4 Europeans and 2 Americans (=the team is made up of...)
So I suppose, strictly speaking, you should use the active/passive forms in that way i.e. if the subject is the constituent members of the group, use the active 'comprises', if the subject is the group that is made up of such-and-such, then use the passive 'is comprised of'.
I find 'comprise(d)' a bit more formal than 'consists of'. ('Consists of', however, is not especially informal.)