Let your bird see another bird that is eating pellets. Feed the regular diet for 30 minutes in the morning, take it out and replace with pellets for rest of day, then feed regular diet for 30 minutes at night if pellets not eaten. Grind up the pellets in a blender, or buy a mash product, and mix millet in the mash. The bird HAS to go through the mash to get the millet. This works well with smaller species such as budgies, lovebirds and cockatiels.
Mushy fruit works best, as it sticks to the pellets very well.
Remove after 4-6 hours to avoid spoiled food being eaten. If your bird continues to be leery of the pellets, remove all perches from the cage so the bird HAS to sit on the food dish. Try going back to hand feeding a juvenile formula with a syringe and then rewean to pellets. This should only be done under the guidance of an avian veterinarian. They often switch bird's diets and can tell you some tricks they use.