Here is the instruction you can follow if you desire to set up a mega menu for your site.
We take Shop menu as an example. You can do similarly with other menus. Imagine that we have Shop and inside of it, we need to have three sub-menus.
Step 1 – Go to Appearance > Menus.
Step 2 – Choose Primary Menu and click Select button.
Step 3 – Go to Shop(level 1) and choose Settings.
Step 4 – Click to Mega Menu tab and check to Mega Menu option.
Step 5 – Increase or decrease to have 4 submenus
Step 6 – After completing the above steps, you would see the result as shown in the screenshot below.