When you export or save a jpg image, the result is an overexposed image that has nothing to do with the image developed in photoshop.
On the left side is the jpg image and on the right is how it appears in the photoshop development.
The same problem is repeated if I export from Lightroom.
If the jpg file is opened in photoshop, the appearance is the one on the right.
Best regards
By @AMarín2086587
Your screenshots are not from the same part of the image, so it's hard to tell what's going on, but I'm going to guess:
You are saving as jpg in PS with the ProPhoto profile embedded / exporting from Lightroom in the ProPhoto color space – and opening the jpgs in an application without color management, like for instance Windows Paint. With ProPhoto embedded, this will lead to desaturated colors.
ProPhoto should never be used for exported files. sRGB is the safe choice, and the profile should always be embedded.