Personally I would take those terms as having quite different connotations. (The fact that FumbleFingers considers there to be no such distinction indicates you should stress the personally in that sentence).
"Industrial country" to me suggests a country whose economy (and perhaps landscape) is dominated by industrial activity.
"Industrialised country" on the other hand suggests a country which has gone through the process of industrialisation, but may very well currently have a post-industrial economy.
For example, I would describe my own country (the UK) as industrialised, but not as industrial, because we currently have a pretty small amount of manufacturing (etc) compared to a service/knowledge based economy.