Have you checked your Failed Delivery or Bounced folders?
Quite often when we hear this you will find the first email in one of these two places. If you find your email there, you will also be able to click into the email to see the reason why the email wasn't delivered.
The most common reason we see for the first email failing is that the dynamic fields could not be populated. We would suggest checking both your template and your contact that the dynamic fields are formatted correctly and that your contact has all of the relevant data.