MP3 is a lossy format, so the more it is compressed down, the more data is tossed. MP3 will incur higher overheads for playback than WAV will, given all other things being equal (sample rate, bit depth...).
If you playback an MP3 and a WAV, that were recorded the same, neither would match the original, exactly. PCM introduces some artifacting which is sometimes heard as harmonics in a WAV file (sample rate and bit depth will impact this). MP3 tosses subtle changes as the human ear is not supposed to be able to hear them anyway (sample rate and bit depth will impact this).