Thunderbird supports threading in the message list pane (which displays replies next to the email that was replied to), but a conversation mode for the message pane is still in development:

https://connect.mozilla.org/t5/ideas/true-threaded-conversat...

In the meantime, the Thunderbird Conversations add-on provides a conversation view that looks like classic Gmail, which is probably what you're looking for:

https://addons.thunderbird.net/en-US/thunderbird/addon/gmail...