I've always compared them for some reason - but then I'm looking at it through the lens of a western-lover. Leone made films about Americans with a Euro-filter, creating an America that existed only in his fantasies. Only Once Upon a Time in America isn't a western but some think that's his best picture.
Peckinpah probably only has one five-star film to Leone's three, but he made more movies and was very consistent from '62 - '77 with only one dud during that era. After that, a study in how cocaine and alcohol can derail a career. I honestly don't know who I like better.