If you want to add menu items inside your navigation menu, go to Appearance-> Menus and drag pages, categories, posts, etc. into the working window.

Choose menu items you want to add from the left and hit Add to Menu.

After that you just need to save the menu.

To create a mega menu or to create a item label click on the relevant toggle

After saving the menu items appear in the navigation.

Note: update permalinks in Settings → Permalinks.