Welcome to MB!
It depends, if they’re different projects by the same people it makes sense to keep them both as separate artist entries in MB. If however it is just a name change then it would make sense to merge them and set up the aliases and add the time periods of when they had which alias.
Merging artists isn’t as difficult as you might think. Here’s the documentation you could read up on, and here’s a video explaining the process. Basically you look for the merge button on the right hand side of the artist page. After you’ve clicked it you go to other artist entry and also click the merge button there.
This will bring you to a new page. There you can select which one the other should be merged into. Also you can select a checkbox whether or not to change all the artists credits to the target’s name (the one you just selected). This is useful for instance when one of either artists contained a typo. In your case you wouldn’t want to use this checkbox though, because you want to keep the data of which albums was released under which name. Make sure to also add some source in the edit note so others can see that you are correct.
If something is merged incorrectly it can be a lot of work to undo it. So if you’re uncertain about it make sure to have some other people look at it for instance by discussing it on the forum before you put in the edit. Or by asking for some eyes on it after you’ve made the edit in the Request For Votes thread. It will take some time for the edit to finish, people first get a chance to vote on it. An alias is automatically created when artists are merged, but you will want to go back to it after the merge is completed and set it up properly with all the dates.
Good luck! 