What is the difference between say and tell?

Are these sentences correct?

  1. I don’t know what to tell you.

  2. I don’t know what to say to you.

I don’t think we say, “I don’t know what to say you.” Nor do we say, “I don’t know what to tell to you.” What is the explanation to this?

Your sentences are correct. The only explanation for the difference is that the two words work differently, Chocolatee. Some verbs take prepositions of one kind or another, and other verbs take none:

Discuss vs talk about
See vs look at
Hear vs listen to

The difference in my last two examples is attributable to the fact that the first verb of each pair is a passive act, while the second is a conscious activity, but other verbs with or without prepositions are not so easily explained.

Hi! Thank you very much for the explanation. It has somehow cleared up something I have been a bit confused of. I guess I just to be careful in using such verbs that pair up with prepositions and those that do not.