When you're checking the fuse (it's the small one) make sure the headlight switch is on to at least it's first click.
As well as that, turn the knob so the rheostat is at full. This is the end right before it clicks.
Might as well take this chance to remove all of the fuses (there are only five anyway) and clean up the contact points with a wire brush or whatever you can fit into the small space.
Then replace the fuses and then check for power. This is a good practice every few years anyway, since the old contacts get a little crust on them over time that reduces the ability to pass current.
Since some of the fuses have power all the time, this is one of those cases where disconnecting the negative side of the battery is a good idea.
The bulbs can definitely all burn out. They rarely go all at once, but with such dim lighting to begin with, most don't notice it happening until they're gone altogether. Or until the new owner pays attention and starts fixing things!
You can bend yourself into a Bronco Owner Pretzel and peek up under the dash to see the lamp sockets. Should be six of them if I remember. 3 for the illumination, 2 for turn signals, and 1 for high-beams. They all use the same socket style but only the illumination lamps will have the Dark Blue w/red stripe wires going to them.
The original style of socket relied 100% on the little clips to ground the circuit to the speedometer housing. This was ok when new but became erratic over time. You might find that if you just wiggle the sockets you can get the lamps to work again. For awhile...
The nice thing about the new sockets that come with the replacement wiring harnesses is, that even though they're not all the perfect size for these holes, they have their own dedicated ground wires to each socket so erratic behavior (electricity-wise anyway) is a thing of the past.
But not many of us have re-wired an entire Bronco just to get the dash lights working again!
have fun.
Paul
