He's probably nervous/scared, being in a new place and all. It's usually best to give them some space for the first few days to week, by putting them in a quite area of your house(if indoors) and just let them be. It might also help to partially cover the cage with a light towel or sheet to help him feel more protected. Don't try and take him out of the cage or hold him, or anything like that. Just let him settle in, and just do the minimum of feeding, water, and only the absolutely necessary amount of cleaning.
If there's anything you can do to make his new area similar to his old, that can help too(same toys, litter box, etc). You should have received transition feed(the same food he's used to eating at his old home). So feeding the same food, hay, and any veggies he's already used to eating. It's never good to suddenly change a rabbits food or diet, especially when they are stressed with being in a new home. If you have a water bottle for him, make sure it works well and he knows how to use it. Some rabbits don't. You may need to offer a water dish instead. Water dishes are better anyways, as rabbit drink better from them.
Keep an eye on his eating, pooping, and peeing. If he hasn't eaten or pooped by the morning, I would get him to a rabbit savvy vet. It's never good to let a rabbit go more than 12-24 hours without eating, and can become an emergency situation as their gut can slow down too much and get blocked.
Once he's settled, then you can start to work on the bonding process with your bun. The more nervous and shy he is, the more time and patience it takes. This link has some good tips.
http://flashsplace.webs.com/bondingwithyourbunny.htm