Categories not showing

Hello,
Basic question that I can’t find an answer to.

I have posts that are categorized by state.
As I put the widget/drop down of “Categories” on the front page, nothing is connected to it.
As in, let’s say I want to see all the Michigan posts through the drop down widget.
Nothing is there. If I click the arrow, it says: “Select Category.” Nothing else.
How can I connect the categories(in this instance, states) to be in the drop down widget?
THANKS!!!