1) See if the cable is connected to it. If not, connect it.
2) If so, disconnect it & see if the cable spins freely by hand. (Also see if spinning the speedo input causes the needle to move.)
3) If so, reconnect it & see if it's connected at the transfer case. If not, connect it.
4) If so, disconnect it & see if the gears are intact (on the cable & inside the t-case).
If the cable spins, but not smoothly, remove it, wash it in kerosene or deodorized mineral spirits, and apply PTFE grease as you reinsert the cable into the sheath.