First add this in function.php file. This is font-awesome cdn

function wp_enqueue_icon_stylesheet() {
    wp_register_style( 'fontawesome', 'http:////maxcdn.bootstrapcdn.com/font-awesome/4.3.0/css/font-awesome.min.css' );
    wp_enqueue_style( 'fontawesome');
}
add_action( 'wp_enqueue_scripts', 'wp_enqueue_icon_stylesheet' );

Then add this class ‘fa fa-lg fa-home’ in specific menu from backend menu

Appreance->menus

Then select the screen-option from top left and select/check the ‘CSS Classes’

After that put the ‘fa fa-lg fa-home’ in one selected menu ‘CSS Classes (optional)’ field and save it

refresh the url.

For more icons https://fontawesome.com/v4.7.0/icons/