This appears to be a CSS related issue.
You need to clear:both your <li> elements which contain your <a href=links...>
Make sure you apply that clear property to your sub-menu <li> elements only and not your top level parent items.
Without knowing or seeing the exact theme you are working with, be it custom or not, I can’t say for sure that this is your problem but going from your diagram its a safe bet that’s where you need to be looking.