(1) Python loops are extremely slow. Learn to use array computations, e.g. numpy:
import numpy as np
x = np.array(...)
y = np.array(...)
distances = np.sqrt(np.sum((x-y)**2))
Batching the computations allows for efficient vectorized or even parallel implementations.
(2) If you don't need absolute distance values (e.g. you only compare their magnitude or average or normalize the result somehow), then omit square root operation, it is very slow. Omission is possible because sqrt is a monotonic function (i.e. omitting it preserves total order).
squared_distances = np.sum((x-y)**2)
(3) There may be distance definitions other than Euclidian that may be meaningful for your specific problem. You may try to find the definition that is simpler and faster, e.g. a simple subtraction or absolute error.
error = x-y
absolute_error = np.abs(x-y)
(4) In all cases, try and measure (profile). Do not rely on intuition when you deal with runtime performance optimization.
P.S. Code snippets above do not map to your code exactly (on purpose). It is up to you to learn how to adapt them. Hint: 2D arrays ;)