I am not from a country where English is the mother tongue. While I was working in my current company, I found my US colleagues usually communicate with each other not only on work stuff but also sometimes about daily life. I found sometimes I don't know how to respond to them like a native speaker. For example, if they praised my bag, I know this is a good starting topic, but I don't know how to continue the conversation in English. Now I can only answer with a 'thank you' or 'I like it too'. May I ask for any suggestions on how to improve the situation?
The communication you described is small talk.
The goal of small talk is for the participants to feel a closer social bond and develop rapport. When your colleague complimented your bag, he was offering you an opening to share something about yourself. You could have said something like
“Thanks, I actually got this bag when I was on holiday in Egypt,”
“Yeah, I like it too, it’s great for short camping trips,"
both of which leave them an opening for further questions. If you’re stuck, you can turn it around with something like
“Thanks, it worked a lot better for me before I lived someplace so rainy. How do you keep your stuff dry here?”
Replying with a short “thank you” is not rude, but it signals that you are not interested in continuing the small talk.
Practice makes perfect. Make an effort to be engaging and continue conversations with your coworkers, and even initiate them sometimes. Talk to your coworkers about sports or the weather or the catering at the last company party, and pay attention to what they say. If you find you have something in common with them, say so, and keep the conversation going.
Working overseas with the Afghan National Army, and here in the US with people of different cultural and language backgrounds has given me a little insight to this. The best way I have seen done is just to hang around people, "shoot the breeze" is a proper idiomatic expression.
Being around people is a good way to get to know them, their mannerisms, and more-or-less the vernacular used by them; I have a heavy Bronx accent and use a lot of military and obscenities in my speech - it would scare the hell out of my QA team at my last job who were all from India, but just spending time with each other definitely helps out.
I would also broach that request to them, a simple "Hey, I would like to be to communicate/form relationships, can you help" can go a long way. Especially if you already have a good working relationship, people may feel more inclined to take you in and help you out.
One of the best moves I have seen in this situation is to always have lunch with a group of coworkers. This will expose you to a variety of small talk as an observer, and eventually as a participant.
Good answers already, but here is something extra that has always worked for me. Learn some jokes in their language, you don't have to get them perfect, but it's a great ice breaker and they'll appreciate them, they don't even have to be particularly funny, it's the novelty value.