They are synonyms. You can use them interchangeably. "yell" is a little more informal.

They mean exactly the same. Screaming usually is done with anger or panic.

The connotation of "scream" is a more extreme emotion than "yell". Also, a scream would more likely be an inarticulate expression than yell..

Yelling is done to attract notice or with anger. Screaming has an element of panic and danger associated with it, and also more loss of control. Yelling is more controlled. You would yell at a person who had really annoyed you or done something stupid, or to get someones attention. But you would scream if there was imminent danger (like to a child). Although you can also 'scream with laughter', which would be loud and shreaky. Hope that helps.

They are similar, but generally "scream" implies a higher state of emotion in the person making the noise. My dad yelled at me. = My dad screamed at me. (Approximately the same, but dad is probably more mad when screaming.) She screamed in agony when she learned that her son was killed in a car accident. (Conveying high emotions.) We would not say "She yelled in agony..."