If you are using .cia files, you might need to "Install CIA" via the Citra File menu. If it fails, it’s almost always because the AES keys in your sysdata folder are missing or incorrect. Why not just use Decrypted ROMs?
You must place it in Citra's .
: You can dump these keys from your own 3DS hardware using a tool like GodMode9 to ensure legal compliance. Navigate to the Citra User Directory : citra aes keystxt download fix