Both say and tell are used with direct and indirect speech. With direct speech, say is more common than tell.

Say

Say can refer to any kind of speech.

Say ‘thank you’ when you are given something.
Say it again.
‘Come at once,’ she said.
She said that I wouldn’t get another chance.

Say is usually used without a personal object.

She said that she would come.

Tell is usually followed by a personal object.

Tell her to go away. (NOT Say her to go away.)
She told me that she would come. (NOT She said me that she would come.)

If we have to put a personal object after say, we use to.

She said to all the team members that they should be ready in an hour. (NOT She said all the team members …)

Tell can be used before object + infinitive. Say cannot be used like this.

I told her to go away. (NOT I said her to go away.)

Tell can mean ‘distinguish’ or ‘understand’, as in tell the difference, tell the time. Say cannot be used like this.

Can you tell the difference between them? (NOT Can you say the difference between them.)
You can’t tell Mary from her twin sister.

Indirect questions

Neither tell nor say can introduce indirect questions.

She asked if I wanted to go. (NOT She said if I wanted to go.) (NOT She told if I wanted to go.)