Local copy of my wordpress based website works partially

We recently got a new website based on WordPress. Now I want to create a local copy of this website for testing and development purposes. And here is how I did this,

1. Website is hosted on GoDaddy. Got a copy of the databases (.sql files) from GoDaddy.
2. Copied all the WordPress files from the hosting to a local directory with FileZilla FTP.
3. Installed XAMPP 1.7.7 on my machine. Set the root password to admin123.
4. Verified that the Apache server and phpMyAdmin works.
5. In phpMyAdmin created a new database called ‘jglocal’. Imported the SQL file (obtained earlier from Godaddy) in this. Now this database shows all the tables (wp_…).
6. Changed the ‘home’ and ‘siteurl’ to https://localhost/jglocal in wp_options.
7. Copied the WordPress local copy (done earlier through FileZilla) into a folder under XAMPP > htdocs > jglocal.
8. Edited the wp_config.php and changed these value: DB_NAME to jglocal; DB_USER to root; DB_PASSWORD: admin123 (same password set in phpmyadmin); DB_HOST to localhost. Did not touch any of the other settings.

Now when i enter https://localhost/jglocal in the address bar the site indeed loads and shows me my home page. However none of the other links work. If i click on any other link it shows me the XAMPP splash screen.

The WordPress Control Panel also works. I can open that and there it shows me all the pages of my website. I can even edit a page and I verified that this data gets modified in the database too through phpmyadmin.

Can somebody please help me figure out whats wrong here and why I can see the home page but not the inner pages?