I'm gonna hope it's the selector switch

 

Turn selector switch to 4WD. Front drive shaft should NOT turn. If it does transfer case problem. Front drive shaft does NOT turn, proceed to passenger side solenoids on firewall for vacuum lines. Check 1 vacuum line at a time. Front of vehicle orientation: 2WD SOL(solenoid) is the right side; 4WD is the left side SOL. Pull vac line from 2WD SOL with selector switch in 2WD should have vacuum. SOL good. Selector switch to 4WD, should have vac. 4WD SOL good. Now follow vac lines to front diff. There is a diaphragm that engages the hubs. Check all connections for broken or not tight. Trace vac lines from front hub up to top of engine housing from underneath. My 4WD & 2WD vac lines for my 2001 4WD F150 were melted in half. They were sealed so it did not effect my engine vacuum. Had vacuum at SOLs, but since vac lines melted in half, no front hub lock.