Hello and welcome to JustAnswer!
Unfortunately this is most likely an internal failure of the transmission.
The first thing I would recommend is with the engine off and trans in park try and push the vehicle to see if you are able to. If you are able to move it then you have a failed drivetrain component (differential, transfer case, axle), but if you feel a hard mechanical lock and can't push it then you know the drivetrain is intact.
If the drivetrain is intact then you could either have a mechanical or hydraulic failure in the transmission. Check the fluid level if you haven't already, it could be low from a leak and is preventing it from engaging.
If the fluid is full then the problem could be a failed pump, clutch or geartrain component in the trans. You can try dropping the pan and checking for debris or other signs of trouble. If there is metal debris that is a sign of hard part failure (a shaft or geartrain component), if there is fibrous debris then it came from a failed clutch. A failing clutch would usually slip, burn the fluid, and give some warning before it fails completely.