To add a footnote in the title of a table or a figure, the following codes may help:

step 1: add \protect \footnotemark in the title
step 2: add \footnotetext{WordsToExplain} neer this title

Sometimes section titles include mathematical expressions.  The following code can help realize this (taking Euler’s Identity as an example):

\usepackage{hyperref}
\usepackage{bm}
\section{Euler's Identity \texorpdfstring{$\bm{e^{i\pi}+1=0}$}{AnythingHere}}