Are you on contract or PAYG? Had you used that SIM for making calls or texts in UK before you left to go abroad?
If you are on contract, did you activate roaming on your EE a/c before you left UK by texting ROAMING to 150? Having a roaming billing add-on doesn't of itself activate roaming on your a/c. Having roaming activated on your EE a/c, not just on your device, is crucial to using your contract SIM abroad.
Often just rebooting the phone is the simple remedy. Also try selecting a network manually rather than auto.
Otherwise if you are on contract you need to call CS to get your roaming activated. Try calling CS on the Freephone no. in my sig. on Skype over WiFi. It should be free.
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To phone EE CS: Dial Freephone +44 800 079 8586 - Option 1 for Mobile Phone & Mobile Broadband or Option 2 for Home Broadband & Home Phone
ISPs: 1999: Freeserve 48K Dial-Up > 2005: Wanadoo 1 Meg BB > 2007: Orange 2 Meg BB > 2008: Orange 8 Meg LLU > 2010: Orange 16 Meg LLU > 2011: Orange 20 Meg WBC > 2014: EE 20 Meg WBC > 2020: EE 40 Meg FTTC > 2022:EE 80 Meg FTTC SoGEA > 2025 EE 150 Meg FTTP
