I use KaTeX for my blog, and indeed KaTeX was faster than MathJax 2, but MathJax 3 (a complete rewrite) has significantly improved performance from the previous version and is now a bit faster than KaTeX in my experience.
This website has a comparison of the loading times of the same LaTeX rendered in both KaTeX and MathJax: https://www.intmath.com/cg5/katex-mathjax-comparison.php
So if speed is comparable, which is best?
It is amusing that, in my particular environment, KaTeX is slower than MathJax 3 in processing time but actually faster when font loading time is accounted for. Both loads from your domain so there should be no routing issue; KaTeX fonts turned out to be substantially smaller than MathJax 3 at least in this particular case. Is this intentional or just a lucky coincidence for KaTeX? (KaTeX is also ~70% smaller than MathJax 3 in their gzipped forms, so it might well be intentional!)