Remember that any reptile has a settling in period, it can take them a few weeks before they start eating properly. So, depending on how long you've had them, I wouldn't be too concerned.
Pellets are rubbish, either feed them to the live food or chuck. You should concentrate on providing them dusted and gut loaded live foods and a variety of veg.
Food that goes down well (and good for them) are leafy greens such as watercress, rocket, dandelion leaves, spring greens, pak choy, lambs lettuce, basil and mint. Squash is also quite a good food. Avoid feeding foods that are high in oxalates too often (spinach, parsley etc). Useful site > Untitled Document