Edit your menu and add
megamenu-3-col in the CSS Classes box, as you can see in this screenshot:
If you cannot see the CSS Classes box, click the “Screen Options” button at the top of the screen and make sure it’s enabled.
Then start organizing your multi-level navigation menu:
How to add a background image in the drop-down?
For the items set to display a multi-column drop-down menu, you can set a background image. Simply paste in the image URL in the Background URL box.