Following tutorial and "No nav menu found"?

I’m following the introductory tutorial and I’m near the end where he builds a nav menu. He searches in Elements, and drags ‘nav menu’ element to the header and it shows a horizontal list style desktop menu (not a hamburger menu).

However, when I try it, it shows me a hamburger menu with the words “no nav menu found”.

What am I missing?

Did you already create a menu in WordPress? I see in your screen-shot that no menu has been selected yet