Please follow the steps below to set up a Mega Menu. Navigate to Appearances > Menu and follow the steps below –

1.  On Right top corner of the screen, you should be ‘Screen Options’, Enable ‘Css Classes’ in this list of option
2.  Open the Menu item, that needs to be configured as Mega Menu. And add the classes ‘mega‘ and (‘columns-2’, ‘columns-3’ or ‘columns-4’) in the Css Classes options, depending on the number of columns you need.
3.  In addition to this, if you need the First Item in the Sub Menu Columns to be highlighted, you need to assign the class ‘highlight’ to the First Item in the sub menu in respective columns.