Have you configured Ports and Pins to set what pins control step/direction for the axis motors? Often times, these troubles (lack of movement, no input signal, etc.) are due to incorrect configuration. I'd suggest going through the machine setup section in the manual and make sure you thoroughly understand it. There could of course be other reasons (such as stepper drivers not powered or connected incorrectly) but configuration is the first place to look. This is especially true if you're not getting any lights in the diagnostic screen.
Essentially, you need to tell Mach3 which port and pin each and every signal is going out on or coming in from. Without this configuration Mach3 is "dumb" and doesn't know how to control anything. It's not just plug and play.
I do not know your level of experience with Mach3 so forgive me for being so basic, but my years of troubleshooting electronic/electromechnical systems has taught me to always start with the basics. Philosophies aside (which came first, the chicken or the egg) let's take it one step at a time and we'll get you running. Again, no lights on the diagnostic screen for outputs indicates a configuration issue and no further troubleshooting of the electronics is necessary until we get something showing on some output pins.
Stephen "Highspeed" Kruse