I’m assuming you’ve created some categories; and have some posts in each of them (although that’s probably not mandatory, just sensible). I’m also assuming you are not using the default menu, but have created a custom Primary Navigation menu.
Go to Dashboard –> Appearance –> Menus
Select the tab for your Primary Navigation menu from the tabs along the top of the main panel.
At bottom left of the main panel, you should now see a sub-panel called, “Categories”. Tick the ones you want to add to the menu and click, “Add to Menu”.
HTH
PAE