Why does a budget show I'm over budget, but when I click the link for that category, it shows this month's transactions are less?

This can happen when the budget for a particular category is set to roll over.

If this is the case, then the balance that you over-spent from a previous month will get applied to the current month.

To check if this is the case, click on Edit details for that category, then check whether the "Start each new month with the previous month's leftover amount" is checked.