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What is the relationship between Lord Krishna and Lord Shiva?

Lord Shiva and Lord Krishna are one and yet different. Lord Brahma gives a beautiful analogy to explain this in the Brahma Samhita (5.45) (prayers offered by him at the beginning of creation after having the absolute truth revealed to him):

kshiram yatha dadhi vikara-vishesha-yogat sanjayate na hi tatah prithag asti hetoho yah shambhutam api tatha samupaiti karyad govindam adi-purusham tam aham bhajami

Just as milk is transformed into curd by the action of acids, but the effect (curd) is neither the same as nor yet different from its cause (milk), so I adore the primeval Lord Govinda of whom the state of Sambhu (Shiva) is a transformation for the performance of the work of destruction.'

Curd is nothing but the transformed form of milk in touch with acids, but at the same time, milk is the source of curd. Lord Krishna is like milk and Lord Shiva is curd. Lord Krishna is pure spirit. When He comes in contact with material creation, He manifests Himself into a different tattva (category) called Shiva Tattva. But just as we cannot get the same benefits from curd as from milk, similarly, the worship of Lord Shiva won't yield the same benefits as the worship of Lord Krishna.

Thus, Lord Shiva is one of the expansions of Lord Krishna for the specific purpose of destruction. In other words, when Lord Krishna's destructive power takes a form, He is known as Lord Shiva.

However, Lord Shiva is a very mysterious personality and plays different roles in creation.

He plays the role of demigod too but is not a demigod as Lord Brahma or Lord Indra (the king of heavens). He is above all of them, but he is also not worshipped nor does he like to be worshiped as God. He takes great pleasure in being addressed as a devotee of the Supreme Lord.

As mentioned in the greatest scripture Srimad Bhagavatam (12.13.16):

nimna-ganam yatha ganga devanam achyuto yatha vaishnavanam yatha shambhub purananam idam tatha

"Just as the Ganga is the greatest of all rivers, Lord Achyuta [Krishna] the supreme among deities and Lord Sambhu [Shiva] the greatest of Vaishnavas, so Shrimad Bhagavatam is the greatest of all Puranas."

Further Lord Shiva himself says in Srimad Bhagavatam (4.24.28):

yah param ramhasah sakshat
tri-gunaj jiva-samjnitat 
bhagavantam vasudevam 
prapannah sa priyo hi me

'Any person who is surrendered to the Supreme Personality of Godhead, Krishna, the controller of everything material nature as well as the living entity-- is actually very dear to me.'

Lord Shiva awards material opulence to His worshippers. But to the ones He is especially pleased with, to those who have a pure heart and do not desire anything material from Him. He gives what is closest to His heart. And that is devotional service to Lord Krishna. He brings such people into the realm of service to Lord Krishna.
Vallabhacharya was a great devotee of both Lord Krishna and Lord Shiva. Once, distressed with the ups and downs of life, he went to a temple of Lord Shiva and started praying fervently. Touched by his prayers, Lord Shiva appeared and asked him his wish. 
Vallabhacharya was surprised, but since he was a pure-hearted devotee, instead of asking Lord Shiva to fulfil a material desire, he said, 'Please give me what is most dear to You.' Lord Shiva smiled broadly and gave of Lord Krishna. Since then, Vallabhacharya worshipped Lord Krishna, but never rejected Lord Shiva. In fact, he considered Lord Shiva his guru. 
       
And so, Lord Shiva and Lord Krishna are one and yet different. They are one in the sense that they are the manifestation of the same absolute truth, but for different functions.
       
However, whoever we are worshipping, as per our faith, we can pray to them to give us whatever they think is best and closest to their heart and just like Vallabhacharya, we will be guided to the best even if we do not know who or what that best is.


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