They are interchangeable in present tense only. In other tenses, πάω shows momentary movement, whereas πηγαίνω continuous. Pe: θα πάω- I will go. Θα πηγαίνω -I will be going.

I think the difference is in what we call in czech "slovesný vid" (eng. grammatical aspect, you can read more about it here https://en.m.wikipedia.org/wiki/Grammatical_aspect) We have this for almost every verb. But if if use this example: "jdu"=πάω vs. "chodím"= πηγαίνω. The latter indicates either a continous or habitual action. In other tenses there is also a visible distincion of perfect vs. imperfect. Pretty much where other languages use different tenses we use different verbs which mean rhe same thing. It is quite complicated. As far as I know it is that common in Greek, I cannot think of another example right now.. I hope I didn't make it more confusing!