You need to create Menu from Appereance -> Menus and choose create a new menu option.
After that you can choose Pages, Posts, Custom Links(useful for One-Page layout’s menu), Categories from the left column and click Add to Menu button. The selected menus will be added under the Menu Structure. Then you will need to choose Theme Locations under the Menu Settings:
Choose Header Main Menu if you want to use the menu at the top of your website. For More info see the image below: