If you want to put your collections inside a submenu or have multiple collections and want to group them into different menus, you can use the submenus feature. Go to the Navigation section on your Shopify admin dashboard and create a link list (menu) for each submenu. Let's say you want to achieve the menu that we did in King's preview.
You need to create a new menu (link list) called collections (we'll use this in our example, but it can be anything else). Inside it, put various collection links. After you're done, save the link list and create a new link list, which we'll call collections-parent.This link list will have a single menu item, which needs to have the name just like you called your initial menu (links list). In our case that is collections. Save this menu/list and then go to Themes > Customize and set this last menu/link list as your collections menu. When you save and visit your website you should see a menu item with all your collections as submenus.
Here's a screenshot of the entire process:
Of course, this is just a starting point. You could create a complex "collections parent" menu with some blank links which have their own submenus (collections) in them, etc..
The same principle applies to regular submenus as well. You can have unlimited submenus both for the collections and main menu.