 Solution

The coincidence locus of two scheme morphisms is the fibre productThe diagonal morphism ${\Delta }_Y$ is a locally closed immersion, and this property is stable under base change of a morphism of schemes, so $E\hookrightarrow X$ is locally closed. The universal property of a fibre product says that a morphism $T\to X$ factors through $E$ exactly when $f{|}_T=g{|}_T$. Thus $E$ is the largest locally closed subscheme on which they coincide. If $Y$ is separated, ${\Delta }_Y$ is a closed immersion, and its base change $E\hookrightarrow X$ is closed.