Hi, well done for seeking help. This is gonna be a long answer! What type of macaw do you have and how old is he? If it was a reputable breeder you should be able to contact them for further help as in the UK it is illegal to sell unweaned birds. They should have given you some of the foods he was used to or at the very least a diet sheet of what he likes. It could be a few things, he may be stressed that he's in new environment. What is his cage set up like? Does he have plenty of toys, a good routine for sleep? Presuming you did all your research on the amount of attention and interaction that parrots require, and that he will need lots of attention and time out of his cage? As for food, it sounds like you're going to have to figure out his favourite things. Fruit is good but try not to give too much. As a rough guide... our blue and gold macaws will have for example banana, apple, pear, tangerine, nectarine, peeled kiwi, but only the rough equivalent of 1 heaped tablespoons depending on what fruit there is and what else is in the bowl. They will get fruit like that weekly, with smaller amounts such as a couple of grapes or about 4 blueberries added to their bowls every few days. Fruit is good, but high in sugars.
Veg is best, so a simple mix of eg... carrot, sprouts, sweet potato, squash, bell peppers, cabbage, courgette each day. Ours get about 2 tablespoons of veg mix for their evening meal, plus 6 cubes of Harrisons high potency pellets which are designed for macaws.
For breakfast they have 10 cubes of Harrisons along with 7 cubes of Harrisons power treats, a walnut, an almond and 5 pine nuts. These are split so about 5 individual pieces are used for a training session each morning and the rest are put into foraging trays so they have to search for their own food.
There are more veggie and fruit options they can eat, but a I'm just giving you examples here. You just need to check others first as not all are safe for parrots. There are lots of existing threads on here that you can search too.
As you know what he will eat, you'll just have to be VERY patient in adding small amounts of other things to his bowl. Don't leave food in all day, so he's more interested when trying new things. We used to pretend to be eating the food ourselves and make a big game out of it so he'd try things.