Difficult is the opposite of easy. It means that something requires lots of effort to do it. Hard can be the opposite of "soft" (such as a hard pillow and a soft pillow) but it can also mean "difficult."
For example, you can say:
The test was difficult. = The test was hard.
It's difficult to understand the teacher. = It's hard to understand the teacher.
The word hard is a little more informal, so it's better to use difficult in more formal writing.
The word hard can also be an adverb to describe doing an action with great effort or energy. We often use it with the verbs work and try:
The jumping jack is a classic exercise the world over, and is great for warming up. Jump and spread your legs to your side while simultaneously lifting the arms. As soon as you land spring back into the starting position.