This is a Mega Menu sample:

To create a Mega Menu like the image above, firstly you must create some Menus in your store admin. You can follow this tutorial to do it.

Then go to Customize theme--> Sections-> Header--> Add Content

There are 7 types of Menu for you to select:

1. Menu Link

The menu is just a single text without sub items, you can add a URL to this text, add a label, custom color of the label

Result:

2. Menu Standard

++ Choose the parent item menu: You can create a Menu like this in the Shopify admin

Result: Menu Standard shows in vertical

++ Menu link: Add a link to the parent item text

++ Menu lable: Add a label onto the parent item text

Result:

 3. Menu Standard Col

++ Choose the parent item menu: You can create a Menu like this in the Shopify admin

 Result:

4.Item Menu Per Col

++ Choose the parent item menu: You can create a Menu like this in the Shopify admin

++ Menu link: Add a link to the parent item text

++ Menu lable: Add a label onto the parent item text

 Result:

 Menu is too buggy....