Is there any difference between shell and command prompt apart from OS terminology?

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Do shell and command prompt refer to the same things, i.e command line for Windows and shell for *NIX OS? Or is there is something else to know too?

Actually I'm using MySQL using the command prompt and was following some tutorials on that and they are using "shell" so I thought to ask. I've googled it and some are referring to them as the same, others aren't, so I'd like a more specific answer from coders.

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