To my ears, the vowel in "sole" or "soul" sounds different from the first vowel in "solo"; it sounds somewhat similar to the vowel in "caught", while the vowel in "solo" does not. (You can listen to sample clips by clicking on the speaker icons in this web page and this one.) The dictionaries I've looked at however don't seem to show this in their indicated pronunciations. What then is the nature and explanation of the difference? I am using American pronunciations.
In some dialects of American English, if there's an /l/ at the end of a syllable after particular vowels, the /l/ turns into /əl/. This means that pairs of words like bowled and bold will get pronounced differently. Listening to a few pronunciations on the internet, this doesn't generally seem to happen in British English (there are also lots of Americans who don't do this).
This generally happens for the vowels found in the words soul, fool, file, foul, feel, fail, foil, and sometimes pal.
In solo, the /oʊ/ and the /l/ are in different syllables, so the /oʊ/ is pronounced normally. In soul, the /l/ ends the syllable, and can turn into /əl/. So what you're hearing is essentially the triphthong /oʊə/ before the /l/.