Vastly, vastly cheaper. By the unit, you are paying for the cost of counting, packaging, attaching a barcode, tracking SKUs, etc. etc. etc. Packaging isn't free. In fact it's very expensive, unless you are buying in large enough quantity for packaging cost to be spread across many, many units. Rule of thumb: search for the cheapest bolt in the store, typically $1.09, that is the cost of packaging which is added to the cost of every package.
Buying at big-box, you are paying (through the nose) for their convenience of easy tracking and being able to hire minimum wage stockboys to do jobs that can be automated at an institutional level... instead of an actual, competent hardware store manager who knows how to run a bolt bin.
Dealing with big-box stores, you are also paying the gotcha tax. Big-box knows perfectly well folks don't know how to shop, and trust big-box blindly to be the lowest price in town. First, folks don't even know where alternative stores are. But if they did, they'd only price-compare certain items, and those items are very predictable: in electrical, that'll be 100' or 500' spools of /2 Romex. That is four products they need to lowball. The rest, they overcharge as much as they dare, I have seen them charge three times electrical-supply prices for the same part. Outrageous. There's a reason electricians shop at electrical supply houses. Big-box is for suckers.