Basically, Mars is made of rock, and Europa largely of ice. Some kind of low-temp heated probe may be used to explore the depths of Europa, but real live drilling equipment would be required for Mars. Super-high-temperature boring machines called "subterrenes"* have been suggested for drilling tunnels through rock on Earth by melting the rock. Self-contained units would also certainly require nuclear power.

Of course, burrowing into Mars at a temperature of thousands of degrees would pretty much screw up any nearby biology...

*Unfortunately, most subterrene references are now located on "Vast Underground Military Conspiracy" sites. Sigh.