It's probably most correct to add a layer of indirection. EM waves and photons both model the same thing. They just model it differently. This thing is what we informally call "light."
The different models are better at handling different sorts of situations where "light" behaves one way or another. Photons are effective at modeling what happens when light behaves in discrete ways, such as when it interacts with PV cells. Electromagnetic waves are effective at modeling light when it is behaving in continuous ways, such as diffracting through a small hole.
It's also worth noting that there's also more than one model which uses photons. "Classical" photons are wonderful little creatures which fly around like little billiard balls and have all the nice properties that makes classical mechanics fun. Quantum mechanics provides a more nuanced concept of the photon. In many cases they are compatible, but when you look at particularly funny experiments, such as the single-photon double-slit experiment, the classical model fails to describe what we really see, while the quantum model does a much better job of predicting the results.