The answer will vary from one brand to another, but to me the difference is everything. To continue with the idea of weight as one poster mentioned, the 500 lb trailer may also have heavier axles, a heavier frame, and higher load range tires to carry the extra weight. The axles may be placed different, brakes may be bigger. Batteries may be bigger, maybe two rather than one. Heavier tongue jack, heavier coupler or pinbox. Perhaps the higher end model has roller bearing drawer slides and real Coubard doors that stay shut while driving. Bigger holding tanks in a top of the line model possibly. I read about a new Timber Ridge trailer by outdoors RV on another thread here which came with greasable leaf spring bushings. Basically less focus by the manufacturer to save money to meet a certain price range.
I do not know if all the above examples apply to the specific scenario with the two trailers weighing 500 lb different, you would have to check. But do you get the idea? There are many things you can change yourself. But if it just isn't built right to begin with, don't bother upgrading anything. Then there's resale which will be higher on the trailer that cost more to begin with. This is especially noticed when talking about super high end brands like Airstream.