How to add class to link in wp_nav_menu?

I have solution to add class to anchor tag.

1: Step: add this in functions.php

function add_additional_class_on_a($classes, $item, $args)
{
    if (isset($args->add_a_class)) {
        $classes['class'] = $args->add_a_class;
    }
    return $classes;
}

add_filter('nav_menu_link_attributes', 'add_additional_class_on_a', 1, 3);

2: Then use it like this in your theme

<?php
        // Show Menu here
        wp_nav_menu(array(
            'theme_location' => 'my-footer-menu',
            'container_id'    => '',
            'menu_class'      => 'footer-top list-unstyled',
            'menu_id'         => '',
            'add_a_class'     => 'box-link text-dark',
        ));
?>

I want add 'item' class to li should write this code:

add_filter('nav_menu_css_class' , 'nav_class' , 10 , 2);
function nav_class($classes, $item){
    $classes[] = 'item';
    return $classes;
}

Taking a hint from this answer which I found was the most concise about adding classes to the list items of the menus, I used nav_menu_link_attributes filter which does work well for adding classes.

In your functions.php, add:

function add_menu_link_class( $atts, $item, $args ) {
  if (property_exists($args, 'link_class')) {
    $atts['class'] = $args->link_class;
  }
  return $atts;
}
add_filter( 'nav_menu_link_attributes', 'add_menu_link_class', 1, 3 );

Optionally, you may want to add the option to add classes to list items:

function add_menu_list_item_class($classes, $item, $args) {
  if (property_exists($args, 'list_item_class')) {
      $classes[] = $args->list_item_class;
  }
  return $classes;
}
add_filter('nav_menu_css_class', 'add_menu_list_item_class', 1, 3);

Now, in your template, to build a menu you just add two new arguments, e.g.:

wp_nav_menu([
    'theme_location'=> 'primary_navigation',
    'menu_class'    => 'navbar-nav ml-auto flex-nowrap',
    'list_item_class'  => 'nav-item',
    'link_class'   => 'nav-link m-2 menu-item nav-active'
]);

Works well with themes with multiple menus which have different appearance.

Thanks to Sergiu Paraschiv comment the issue was in regards of limiting to 1.

Therefore it should be in function.php:

function add_menuclass($ulclass) {
   return preg_replace('/<a /', '<a class="list-group-item"', $ulclass);
}
add_filter('wp_nav_menu','add_menuclass');

UPDATE

There is a better way actually which gives us much more control and the piece of code is provided by Jeff Starr on this post

NOTE: this isn't adding the current class tho

Create your menu on wp, then remember to click the location in the menu editor then in your function you'd do:

// custom menu example @ https://digwp.com/2011/11/html-formatting-custom-menus/
function clean_custom_menus() {
    $menu_name = 'nav-primary'; // specify custom menu name
    if (($locations = get_nav_menu_locations()) && isset($locations[$menu_name])) {
        $menu = wp_get_nav_menu_object($locations[$menu_name]);
        $menu_items = wp_get_nav_menu_items($menu->term_id);

        $menu_list = '<nav>' ."\n";
        $menu_list .= "\t\t\t\t". '<ul>' ."\n";
        foreach ((array) $menu_items as $key => $menu_item) {
            $title = $menu_item->title;
            $url = $menu_item->url;
            $menu_list .= "\t\t\t\t\t". '<li><a href="'. $url .'">'. $title .'</a></li>' ."\n";
        }
        $menu_list .= "\t\t\t\t". '</ul>' ."\n";
        $menu_list .= "\t\t\t". '</nav>' ."\n";
    } else {
        // $menu_list = '<!-- no list defined -->';
    }
    echo $menu_list;
}

Finally we can call our menu:

<?php if (function_exists(clean_custom_menus())) clean_custom_menus(); ?>

The code above is taken from the post linked above, I thought to include this answer as it appears this question has many visits.

UPDATE 2

Another solution would be (maybe the best):

header.php:

    <?php
      wp_nav_menu( array(
        'theme_location'  => 'topnav',
        'menu'            =>'topnav',
        'container'       => 'div', 
        'container_class' => 'collapse navbar-collapse', 
        'container_id'    => 'navbarCollapse',
        'menu_class'      => 'menu', 
        'echo'            => true,
        'fallback_cb'     => 'wp_page_menu',
        'items_wrap'      => '<ul class="nav justify-content-end w-100 %2$s">%3$s</ul>',
        'depth'           => 0
      ) );
    ?>

function.php:

 // register the nav
 function register_my_menu() {
  register_nav_menu('topnav',__( 'topnav' ));
 }
 add_action( 'init', 'register_my_menu' );

// let's add "*active*" as a class to the li

add_filter('nav_menu_css_class' , 'special_nav_class' , 10 , 2);
function special_nav_class($classes, $item){
     if( in_array('current-menu-item', $classes) ){
             $classes[] = 'active ';
     }
     return $classes;
}

// let's add our custom class to the actual link tag    

function atg_menu_classes($classes, $item, $args) {
  if($args->theme_location == 'topnav') {
    $classes[] = 'nav-link';
  }
  return $classes;
}
add_filter('nav_menu_css_class', 'atg_menu_classes', 1, 3);

function add_menuclass($ulclass) {
   return preg_replace('/<a /', '<a class="nav-link"', $ulclass);
}
add_filter('wp_nav_menu','add_menuclass');