Yes, possibly - especially if the router is being used by several machines at the same time. In my experience, I've set up several routers using PPPoE connections (what you normally use with DSL) is that routers are more efficient managing PPPoE than many software network connection utilities.
You can make sure that you're optimizing your configuration (MTUs, packet size, and other parameters) by consulting the helpful folks at DSL Reports. They also have a speed test, (for upload & download speeds) as well as several tweaks and utilities.
Things that may slow you down are firewalls, antivirus, badly configured machine/router, not enough memory, caching issues in the browser, noisy phone lines, a faulty cable or ethernet jack, if you've got a virus, or are infected with spyware, or a trojan, slow proxy server, or just plain ISP congestion.... and think this list could go on....