The simple answer is no, they would not travel at the same speed - which, btw, is why we see rainbows!
It's a little more complicated than that but, basically, light waves passing through a medium interact with electronic charges in that medium. The incident electromagnetic field accelerates those charges and they re-radiate electromagnetic energy. In effect, the propagating wave causes new waves to be created as it is absorbed. In turn, the same process applies to the radiated fields.
The overall radiation field depends on the frequency of the incident wave and so the rate at which the full radiation field propagates through the medium also depends on it.