What changes in New Game Plus for SteamWorld Heist?

After beating SteamWorld Heist, a black hole appears on the map. Approaching the black hole gives you the option to restart in New Game Plus with all your unlocked characters and hats.

What changes in New Game Plus? Does the game get more difficult?

Activating the new game plus has the following effects:

• you keep unlocked characters and hats
• 1 extra item is given at the start
• you can choose again the difficulty level
• you lose all earned levels, progress, weapons, items as well as inventory space

It isn't harder than the main game, unless you choose a harder difficulty level of course.

Sources: Gamefaqs and Steam forums

As stated in the comments, if you are owning the Ultimate Edition of the game, you do not have to start the New Game Plus to change level difficulty when playing them again.