To create a menu you first need to go to the Appearance > Menus page and create one. The following tutorial will guide you through all the process: https://codex.wordpress.org/WordPress_Menu_User_Guide

Once you have created the menu and assigned to any of the locations registered by the theme (Main Navigation or Header Navigation), you can edit the menu as you can see in the below screenshot:

At this point, to create a Mega Menu you need to expand the main menu item and tick the “Use as Mega Menu?” checkbox. The children of the menu item will be displayed inside the Mega Menu.

To organize the Mega Menu in columns, you need to structure the menu as shown in the below image:

When done organizing, save the menu and you’re all set!

Video Explainer:#