ESOF ( electronic Shift on the Fly ) :-
Checking the fuses is always a good thing, but I have seen a few cases where the vacuum solenoid on the front pumpkin is the cause of this. Usually this is cracked and causing the truck not to lock into 4 hi or 4 lo.

The 4x4 indicator on the cluster will not illuminate until the motor has turned in the transfer case, and the front shaft locks in place.

Could be a few other things, but start with the fuses and the vacuum solenoid on the front.

The problem you are having is with the Automatic Disconnect Differential(ADD) actuator located on the front differential, it is supposed to engage the front differential to provide 4 wheel drive, this actuator is vacuum operated from a vacuum switching valve, the most common problem is that a vacuum hose may have become disconnected, another problem may be that the actuator vacuum pipes may have gotten clogged up with rust or other foreing matter, the 4x4 indicator switch that turns the light on the dash on is directly connected to the front differential so if the actuator does not engage the light will not turn on and there is no 4 wheel drive,The best advice I can give you is to check the actuator, manual locking hubs.
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