Hey CamaroChill, try the suggestion above, LEDs are polarity sensitive (being diodes, they only conduct electricity in one direction), and especially cheaper parts don't have built-in electronics to reverse the wrong polarity for you automatically. Very easy to try, just plug it in the other way.
If this doesn't fix the issue, try swapping the bulbs side to side to see if it's the bulb or the car. If it's the car, try putting the stock bulb back in to see if the LED part blew a fuse.
If the stock bulb still works, you have a problem with the product; furthermore, if the LED bulb works on one side but not the other, toss it in the garbage and buy Diode Dynamics or Oracle or something reputable instead.
(For the record, I bought this unit from JW Motorsports in May 2019 after repeated issues with Diode Dynamics, and all four of my JWM side markers have been working flawlessly since then. Rumor has it that Diode Dynamics have since then fixed the problems with their suppliers and later units do not die like mine did several times.)
The fuses to check for side marker operation are F18 (body control module 4) and F28 (body control module 3) in the underhood fuse box.