Turn signals, break lights and caution lights work fine. When I turn on the head lights, the rear red lights, and tag light do not work. Is there a relay module I can replace? :)

What make/model?

Most cars have the headlights on a different circuit, or fuse, than the marker lights and tag lights. Check for a blown fuse.

https://www.askmehelpdesk.com/cars-trucks/when-asking-about-your-vehicle-303903.html