'Shout' is to say something in a loud voice. If you are at a party where there are a lot of people and loud music, for example, you may need to shout in order to make yourself heard. 'Yell' is similar to 'shout', but may be louder and less controlled. 'Scream' is more high-pitched and emotional. You scream when you are extremely afraid, angry or in very great pain.

I think that "scream" involves some kind of fear.

They are all close in meaning, shout meaning to speak loudly: The audience began to shout their support for the team as they took to the field of play. Yell has some emotion such as anger involved as in: When I wrecked the car my Father yelled at me. (This happens a lot in the U.S.) Scream has the context of fear involved such as: In the horror movie the woman screamed when she saw the two headed monster.