Don't start worrying yet. Depending on the size of the snake, sometimes even a pinky is too big. If you think this might be the case, you can try just feeding the pinky's head... yeah, I know it's gross, but that's what it takes sometimes. Also, some hatchlings prefer a lizard for their first meal. If you can get an anole somewhere, you can try scenting the pinky with the anole. You have to cut the (dead) anole's skin so you can put a little of the blood on the pinky. Then the pinky will smell like anole, and hopefully the snake will want to eat it. If this does not work, you can try feeding a live pinky (if you've been using f/t), then try feeding a f/t anole. Leave a few days between each feeding attempt to avoid stressing your snake out too much.
Good luck!