Threaded comments make it possible for your readers to start (or end) conversations with each other. Either way, it’s a cool feature to have.
Check your theme’s header.php file for a line of code that looks like this (should be before the body tag):
<?php if ( is_singular() ) wp_enqueue_script( 'comment-reply' ); ?>
If it isn’t there paste it in and save the file changes.
Then go to Settings>> Discussion and select the option to turn on threaded (nested) comments.
More options for threaded comments:
- Break comments into pages with  comments per page and the [first] [last] page displayed by default.
- Comments should be displayed with the [older] [newer] comments at the top of each page.
Please ONLY attempt the next steps if you are comfortable using FTP or your Control Panel File-Manager and editing theme files. And always back up.
- Grab the latest comments.php file from WP 2.8+ /wp-content/themes/default.
- Copy and Paste your theme’s comments CSS into a text file.
- Open the Default theme style.css, Copy everything related to comments and Paste into your theme’s style.css.
- Use your theme’s comments CSS as a reference for colors and borders,etc so the comments style will match your theme.