Comment by roughly

I run both (LS on Mac, at least), they do different things - pi.hole is a great ad blocker which applies to all of the devices on your network. Little Snitch is doing something different - it tells you every call that every app you use is making, and allows you to approve or deny each one. So, you can block telemetry for apps, or you can block certain apps from contacting certain servers, or you can just use it to watch what apps on your system are calling out to where.