The effective cone of a Mori dream space admits two wall-and-chamber decompositions called Mori chamber and stable base locus decompositions. In general the former is a nontrivial refinement of the latter. We investigate, from both the geometrical and combinatorial viewpoints, the differences between these decompositions. Furthermore, we provide a criterion to establish whether the two decompositions coincide for a Mori dream space of Picard rank two, and we construct an explicit example of a Mori dream space of Picard rank two for which the decompositions are different, showing that our criterion is sharp. Finally, we classify the smooth toric 3-folds of Picard rank three for which the two decompositions are different.