The default navigation menu in Divi which is a header and nav combo, will populate automatically with all your website pages.
However you should set your own pages on the nav menu.
To create a nav menu, you should also create the pages first like Home, About, Contact etc.
Once the pages have been created go to Appearance > Menus and create your first menu.
When you create a new menu, you are actually creating a holder for the menu items to go.
Now add the available pages from the left to your newly created menu and then click save.
Check out this video tutorial which shows you how to add menus in Divi theme: