Generally, their use can be expressed as follows:

 You say something.

You tell someone something.

You say something to someone .

She said that she was feeling well.             – not defined to whom has been spoken.

She told him that she was feeling well.        – the person to whom has been spoken is defined (“told him”)

She said to him: 'I am not feeling well.'       – the person to whom has been spoken is defined (“said to him”)

When an order or an advice is given we use tell:

 Ex: Tell Nadya to turn off this TV.

      He told me not to worry.

Some phrases are used only with tell:

 Tell (someone) a story.

Tell (someone) a lie.

Tell (someone) the truth.

Tell the future (to foretell).

Tell the time (He told me it was 4 o'clock).