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Blu vs. azzurro

In Italian, while both blu and azzurro translate to "blue" in English, they are not interchangeable. They refer to distinct shades of the color and are used in different contexts, with azzurro holding a special cultural significance.

Blu

A1
The word blu describes a dark, deep shade of blue. It is the general term for the primary color blue and is often compared to navy, royal, or cobalt blue. As an adjective, blu is invariable, meaning it does not change its form for gender or number.
Il mare profondo è di un colore blu intenso.
(The deep sea is an intense blue color.)
Per la cerimonia ha scelto un abito blu notte.
(For the ceremony, she chose a midnight blue dress.)
Ho comprato due magliette blu.
(I bought two blue t-shirts.)
L'inchiostro di questa penna è blu.
(The ink in this pen is blue.)
Si dice che i nobili abbiano il sangue blu.
(It is said that nobles have blue blood.)

Azzurro

A2
The word azzurro refers to a light blue, specifically the color of a clear sky. It is a very common and beloved color in Italy, famously associated with the national sports teams, who are nicknamed the Azzurri. Unlike blu, azzurro is a regular adjective and agrees in gender and number with the noun it describes (azzurro, azzurra, azzurri, azzurre).
Guarda che bel cielo azzurro oggi!
(Look at what a beautiful blue sky there is today!)
I suoi occhi sono di un azzurro cristallino.
(His eyes are a crystal-clear blue.)
La nazionale italiana di calcio veste la maglia azzurra.
(The Italian national football team wears the blue jersey.)
Abbiamo dipinto le pareti della cameretta di un colore azzurro pastello.
(We painted the walls of the nursery a pastel blue color.)
L'acqua del mare vicino alla riva era limpida e azzurra.
(The sea water near the shore was clear and light blue.)

Summary

The main difference lies in the shade: blu is a dark, deep blue, while azzurro is a light, sky blue. Grammatically, blu is an invariable adjective, whereas azzurro changes to match the gender and number of the noun. Culturally, azzurro is the iconic color of Italy's national sports teams, known as the Azzurri. In essence, think of blu as "dark blue" and azzurro as "light blue" or "sky blue".