I’m thinking you used categories as your menu options. You are using a custom menu, but you need to add the custom menu option to the top of the page. GO to admin panel -> Menus. Then make sure in the top left box, under “Header Menu”, you have selected your custom menu in the drop down box. Then, you will see you can alter the order of your menu items.
If you were to add your current CUSTOM menu to a widget, you will see it is in the order you want. The top menu you currently are using is intended for pages. So, the way you had it set up, it’s not going to sort your categories.
Use your custom menu, with the header option, in the menu admin panel.