1999 GMC Jimmy 4X4 working properly?

I have a 99 4x4 jimmy SLS. When its in 2 wheele drive it drives smooth and does not seem to have any problems at all. But as soon as I put it into Auto 4wheele, or 4wheel Hi-Lo all the sudden I am getting problems. It will drive in these gears but not very smoothly the first 2 gears are jumpy, or sticky. And then when it pops into 3rd it drives a bit smoother, but there are still some viberations. Thats when it goes into one of the 4 wheele drives. Some times I can't even get it in. Like the push button lights won't come on and I don't here any transfer noises. Today was the worst I couldn't get it into any thing, so I drove it for about 5 miles and it was not smooth at all, then all of the sudden my "Check Engine" light came on. Could this be because of my 4x4 problem? The 4x4 light did not come on. As soon as the light came on I pulled it over and parked it.