If you are new to WordPress, please visit WordPress Menu User Guide
Step 1: Go to Appearance > Customize >Menus.
Step 2: From Menus, there you can see create a menu.
Step 3: After setting Menu Name, click next then Add Items according to your requirement.
Step 4: And Set Menu Location as well.
Step 5: Click Save and publish button.
You can also set menu from Backend
Step 1: Go to Backend>Dashboard>Appearances>Menu
Step 2: Create a menu
Step 3: Manage Location
After selecting create a New Menu
After creating Menu, remember to Select Menu Display Location from Menu SettingsSection which is located on the Admin Panel.