Emails are probably more secure than SMS. But for the purpose of 2FA, I would probably pick SMS.
The reason behind that is that on most websites, you can reset your password using only your email. So if an attacker gains access to your email account, he will be able to reset your password and then answer the 2FA challenge (which by the way shouldn't even be called 2FA since there is only one factor involved).
On the other hand, if you pick SMS, it will be possible for an attacker to intercept the SMS (but it is still difficult enough that most attackers won't bother and as far as I know it is even more difficult if the attacker is from another country). But even with access to the SMS, the attacker will also need to get access to your email account. So in this situation an attacker needs to compromise two accounts to get access to his target which gets closer to what 2FA is supposed to be (still not exactly 2FA though).
Note however that if the attacker somehow finds your password, in the second scenario they won't need to break into your mailbox but only your weaker SMS line. So if you reuse passwords or use weak passwords, maybe 2FA through email is better.