Here are some examples with 'say':
He said 'Hello'.
You need to say 'Sorry'.
We said 'Goodnight' and then went to bed.
As you can see, the sentences above focus on the actual words spoken. You cannot use 'tell' in these situations, because tell means to give information to someone. Here are some examples with 'tell':
You must tell me the truth about the robbery.
My grandmother told me all about her life when she was young.
Can you tell me where the station is?
In some cases, you can use either 'say' or 'tell', but note that you always need to have an indirect object with 'tell' in these cases:
He said that he was sorry = He told me that he was sorry.
I'll say that I'll be home late = I'll tell my parents that I'll be home late.
Spero che sia d'aiuto.