Welcome to the forum!
Your problem can be almost anywhere. First, make sure your transformer is putting out power by hooking up wires to the transformer terminals, turning on the power partway, and momentarily shorting out the wires. You should get a spark. If no spark, recheck that you are hooked up to the proper terminal posts. What transformer do you have?
Make sure the lockon is clean and rust free. Both ends of all track pins must also be clean and rust free.
Finally, all wheels and pickup rollers must be clean and rust free. Use a ScotchBrite pad to remove rust, never sandpaper. Use Naphtha to remove dirt, grease, and any residue from the ScotchBrite. Once everything is clean and rust free, then it is time to lightly oil all wheel bearings, and grease all gears.
This should get you running. If not, let us know what transformer and locomotives you have, so specific instuctions can be given.

Larry