Which species did you get? There are some that you can acclimate to freshwater and some that will have a very short life living in freshwater.
If the stripes are unbroken (not turning to spots in the back or on the belly), that is the one that will do ok in freshwater (Brachygobius xanthozona ).
If the stripes are broken and are spots in some places, it will do better in brackish water, and to be fair to the fish, you should either provide them with the proper brackish environment or return them to the store (Brachygobius nunus).
If they are wild-caught, they do take a long time to take something other than live foods. California Black Worms are a good food for them and once they get used to when and where you feed the live foods, you can sneak in a bit of frozen blood worms. They like their food to move, so putting a powerhead in the tank to make a current helps too. They are ambush hunters, preferring to sneak up on their food. If it just sits still on the bottom, they will likely ignore it.
Also, even though they are small fish, they have huge mouths. If they think they can swallow it, they will try to do so. They can eat something half their size easily.
