Probably need to jack up the frontend, and disconnect the front drive/output shaft. That should allow you to determine what is not behaving.
Try turning your elevated wheels by hand, feeling for damage, then try driving the front axle (via the shaft) by hand.
If that all checks out, leave your front shaft off, put ypur wheels back on the ground and try to drive with 4wd engaged (hopefully nothing comes of that as damage is possibly in your transmission if it does and that usually means a split).