You can add links to your calendar, calendar categories, or specific events using the WordPress Menu Builder. If you are not familiar with the Menu Builder you’ll want to review this tutorial.
In your dashboard, select Appearance > Menus. On the left-hand side along with the usual meta boxes for Pages and Categories, you’ll see Events and Event Categories.
First, click "Screen Options" and check the boxes you want to see in the Menu Builder:
To add a link to your calendar from the Menu Builder, click View All in the Events meta box. At the top of the list, you’ll see an option for Events. Check the box and then click Add to Menu. That will make a link to whatever is your default calendar views.
To add a link to a specific event, select the event from the Events meta box and click Add to Menu.
To add a link to a category of events, select the categories from the Event Categories meta box and click Add to Menu.
You can also link to specific pages or views of The Event Calendar.