There are a few steps to create multi-level dropdown menu:
From your Shopify admin, go to Online Store -> Navigation.
Click the main menu's title.
Choose one of the menu items to be the header for your drop-down menu, or add a new menu item to be the header. If you don't want the header to link to anything, then you can enter # in the Link field when you add the menu item.
Add menu items to include in the new drop-down menu. Click Add menu item, enter the name of the menu item, and enter or select a destination for the link.
Click and drag the menu items to nest below the header item.
Click Save menu.