If you are new to WordPress, please visit WordPress Menu User Guide
Go to Appearance > Customize >Menus.
From Menus, click “Add a Menu” button and you will be able to create a menu.
Now, click Add Items and you will be able to Add or Remove Menu Items according to your requirement.
Select the Menu locations.
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 Settings