They can be used interchangeablly in many situations, like big and large.
For example, screaming, yelling, hollering, shouting, and crying can all refer to words uttered at a high volume.
"You dirty SOB, you're gonna regret the day you were born!" screamed/yelled/shouted/hollered/cried Bill.
However, there can be a difference between screaming and yelling.
This is screaming. There are no words to this kind of screaming, just an expression of horror. Compare the noise to a crying baby. This is not usually described as yelling. Because when you yell, shout, holler, etc you are usually producing actual words.
Note the video Top Ten Movie Yells includes "yells only in which words are spoken," thus differentiating yells from screams (the famous shower scene in Psycho is a scream, not a yell).
Both 'scream' and 'cry' can refer to times when someone makes loud vocal noises that do not include actual words. If it is a baby we usually use the word cry. If it is someone who can talk, we can use either cry or scream.
When words are included, it can also be called a yell, holler, shout.
Particular contexts and historical usages make it difficult to cover all cases. For example, a battle cry
may be called a yell
even though it contains no words as such. The battle cry of the South, the Rebel Yell
, is an example.