Mice or rat pinky? If it's a mouse pinky that's much too small: he can easily take at least mouse hoppers/small mice.
Try leaving it in with him overnight, try prescenting the tub/tank (I use a hairdryer to warm the feeder and kinda blow the feeder smell around the tub), or try feeding live. Make sure your husbandry is spot on as well, and I would give him at least a week to settle in before your next attempt at feeding if you just got him.
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