Hi,
I look them up in my own dictionary. They have the same meaning but i dont know when we use "clue" and when we use "evidence".
Generally speaking, a clue is something that helps you to find a solution. It can often be something indirect.
eg The police find out that the murdered person received a phone call just before he was killed.
A crossword puzzle is basically a list of clues to help you find words.
Evidence is more direct, eg the police find your fingerprints on the gun that killed the person.
Best wishes, Clive