Are you going into them toe first or just trying to stomp in straight down? You really need to catch that front end of the pedal with the front of the cleat before you push down and click in. Otherwise it won't work at all. FWIW I just ran through my first SPD-SL cleats and while the new ones are just as easy to engage they are a bit tougher to release.

You might just have too much muscle memory invested in your old pedals, and need time to get used to SPD-SLs. Personally I like them a lot better than SPDs. The pedal gives me a much bigger target for my cleat and I get a cleaner start from them.