OK, I see what you're saying now. The links work in the header and footer - they both send you to the correct page. However when clicking the footer links, no content loads in the page that the links send you to. I originally misunderstood your issue, thinking that the links didn't even send you to another page.
Are you using the Pages widget in the footer, or are you coding the links in a Text widget? I don't think it should matter, but if your header menu is getting your content to show up, maybe the Pages widget would work better than manually typing an <a href> link.