Both random Fourier features and the Nyström method have been successfully applied to efficient kernel learning. In this work, we investigate the fundamental difference between these two approaches, and how the difference could affect their generalization performances. Unlike approaches based on random Fourier features where the basis functions (i.e., cosine and sine functions) are sampled from a distribution independent from the training data, basis functions used by the Nyström method are randomly sampled from the training examples and are therefore data dependent. By exploring this difference, we show that when there is a large gap in the eigen-spectrum of the kernel matrix, approaches based on the Nyström method can yield impressively better generalization error bound than random Fourier features based approach. We empirically verify our theoretical findings on a wide range of large data sets.