I have the EXACT same problem with my two horses!!!
We were getting this timothy hay from a hay dealer four towns away...and because he had to travel so far, he had to charge ALOT for delivery....so since there are tons of farms around where the horses live, we started looking into finding some hay closer to home. Found one only a few steps down the road.....they didn't like it. We found another hay seller a mile away, selling nice looking, lovely smelling grass hay that he feeds to HIS OWN horses. Being cautious, we bought 2 small bales....NOPE. They weren't having anything to do with it. Our Belgian walked up to it and snorted at it before walking away.....
SOOOO we are still paying an arm and a leg for the hay from the dealer four towns away. *sigh*
Am I a bit overindulgent with the horses? Yea, I admit it. But what is the point of buying hay that they refuse to eat.....or waiting them out to see who will cave in first...the worried owner or the hungry horse.....I can already tell you which will win.....