How to come up with something to say in conversations?

I never seem to have anything worthwhile to reply with when people are trying to have conversations with me.
I’m told I can be pretty funny in writing but face to face on the spot I can’t think of anything, so I get nervous when there’s an expectation of social interaction.
Just tired of saying “yeah” when people are obviously expecting something more. As a result I have pretty much no friends or social life. When I go out I end up sitting alone while others are talking.
I’ve been trying to solve this issue for a while but I don’t think I’ve really improved at all and it’s making me depressed. I’m seeing a therapist too but I thought I’d ask here as well. Help?