Canada

Hi Gaurav, very few universities offer a PG Diploma in Mechanical engineering, as most universities offer a MS. PGD courses are more vocational in nature whereas MS is more research oriented and provides in-depth knowledge and training. If you are planning for Mechanical engineering try for a full time MS from universities such as University of Calgary, University of Waterloo, McMaster University etc. However there is a PGD Mechanical Engineering offered by University of Saskatchewan which is quite popular.
https://ask.shiksha.com/which-college-should-be-preferred-for-pg-diploma-in-mechanical-in-canada-which-university-should-i-prefer-ms-qna-3585467

Hi
Advance diplomas are generally done after 12th and are of 3 years. if you are talking about pg diplomas, it is also known as a graduate diploma and offers people with a relevant undergraduate degree a chance to improve their employability skills. The postgraduate diploma is usually offered as a12-month course and requires students to complete a specific number of learning credits for the institution to grant the diploma to the student. Additionally, a number of postgraduate diplomas offered by leading Canadian institutions include a short work component, which allows students to hone their skills in a real industry environment.
Master's on other hand is a degree of 2 years again and gives you specialization.