Did you map the Gamepad controls under Setup 1?
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Controller
Setup 1
This can be tricky because how MA will 'jump' around.
With the mouse, click ONCE in the space next to "Up". Press Up on your controller. It will automatically 'jump' to the next field, "Down". Press Down on your controller...etc.
You may not want to map "PageUp" and PageDown". Just mouse click once in the "Select" field when it gets to that spot.... and so on.
When done click Save and call it what ever you want. If you click close instead, it will ask if you want to save the layout which worked great when I screwed it up and didn't want to (auto) save.