Have you tired small saltwater ghost shrimp, frozen mysis shrimp, or my lfs recomended to feed mine a plankton that they seem to like.
Ive had my sea horse around 2 months and she loves to hunt down the ghost shrimp, its almost like a game to her.
Try throwing a small piece of frozen mysis shrimp into the tank with the filtration off for awhile so the food doesent go racing all over the tank, sea horses are very curious obout new additions to thier home, once your horse knows its meaty food they seem to like to attack it in its frozen state for some reason.
Probaly the best food to start off with to get your horse to eat is live brine shrimp, not much for food value but it fills the belly, easy to get into the tiny mouth, and easy to catch. once your horse is eating the brine regularly work up to the tiny ghost shrimp.
hope this helps