Using an Nd:YVO₄ microchip laser with a relaxation frequency in the megahertz range, we have experimentally compared a heterodyne interferometer based on a Michelson configuration with an autodyne interferometer based on the laser optical feedback imaging (LOFI) method regarding their signal-to-noise ratios. In the heterodyne configuration, the beating between the reference beam and the signal beam is realized outside the laser cavity, while in the autodyne configuration, the wave beating takes place inside the laser cavity, and the relaxation oscillations of the laser intensity then play an important part. For a given laser output power, object under investigation, and detection noise level, we have determined the amplification gain of the LOFI interferometer compared to the heterodyne interferometer. LOFI interferometry is demonstrated to show higher performance than heterodyne interferometry for a wide range of laser powers and detection levels of noise. The experimental results are in good agreement with the theoretical predictions.