I'm not quite sure what exact functionality you are looking for. Do you have an example website that you could show? It sounds like you want your header navigation at the top to change, depending on the page(s) that the customer is on.
If there is anything else I can help you with, please let me know.
This isn't natively possible within Shopify. Our header navigation allows for a single menu at a time. I did look for a third-party app that may offer this level of functionality but was unable to find anything. My next suggestion would be to consider hiring a developer to create a custom solution for you. You can hire a developer from our Shopify experts directory.
With that said, is there a particular reason why you are trying to have this functionality in your store? A single, well-organized menu is typically all you will ever need for customers to get what they are looking for.