The question is in the title. In particular, I am interested in the case when $n≥2$.
Maybe if $S_1$ is dense and $S_2$ is not, then $\mathbb{R}^n - S_1$ is not homeomorphic to $\mathbb{R}^n - S_2$, but I don't know if this is true, and if so, how to show this rigorously?
For example, is $\mathbb{R}^n-\mathbb{Q}^n$ homeomorphic to $\mathbb{R}^n-\mathbb{Z}×\{0\}^{n-1}$?
We cannot use a connectedness argument here (for $n≥2$), because removing countably many points from $\mathbb{R}^n$ still leaves it path connected (take any two points $x$ and $y$ which aren't removed, then look at the plane through these two points. since there are uncountably many lines through a point but only countably many points removed, we can find two intersecting lines, one through $x$ and one through $y$ such that these lines don't contain any removed point, and this gives a path between the points).
Further, the answer in Are $\Bbb R^2\setminus \Bbb Q^2$ and $\Bbb R^2\setminus \Bbb Q^2\cup \{(0,0)\}$ homeomorphic? tells us that $\mathbb{R}^n - S_1$ is homeomorphic to $\mathbb{R}^n - S_2$ if both $S_1$ and $S_2$ are countable and dense. So any counter example would require atleast one of them to be not dense.
What if $S_1$ and $S_2$ are required to be countably infinite?
(If we are allowed to remove uncountably many points, then it's much easier to get examples. For example, $(a,b)^n$ is homeomorphic to $(c,d)^n$ for any $a<b$ and $c<d$, and in both cases we have removed uncountably many points.)