Do you have a lot of copepods in your tank? If you didn't quarantine and train him to eat frozen food first, he will probably only eat live copepods. If you're lucky, he might learn to eat frozen foods eventually on his own. But most never do.
I'd recommend getting a small HOB refugium to help keep your copepod population stable.
You can also supplement his diet with vitamin enriched live brine shrimp. This should not be his staple diet, brine shrimp don't contain enough HUFAs or protein, and are too high in fiber. They're like junk food to Syngnathids.