Speaking purely of my experience with W126s:
The front lamp housings look the same. Euros have a 2-prong socket that takes a single filament bulb, US versions have a 3-prong socket that takes a double filament bulb. Either type of socket fits either lamp housing. The electrical connector on the car, of course, is different.
The rear lamp housings look different. Euros have orange along the side, US versions have a strip of red along the side. My SD has one of each
I don't know if the internals are different.
US W126s from 86 have operating rear fog lights.