I tried to think of some semantic difference, but honestly couldn't think of much of anything. If I had to draw the line, I would say that the connotations are slightly different, in that 'lately' causes me to consider the time more in reference to the whole time-span of the object while 'recently' causes me to consider the time more in reference to the present. I half believe that that just happens to be an intricacy understood by myself from my exposure to the word, but you can see some evidence of such a distinction in the etymology of the words ('late' vs 'recent')

They have similar meanings, both mean; Not long ago.