WAG in the absence of specifics on the relay module, but the connection may be Arduino digital pin to relay ground and Arduino power to relay VCC like this. (And mind the jumper.)
g6swj:
Sorry maybe I did not make the connections clear
Previous was clear, but it's not clear what connections the relay requires, as distinct from what you have supplied it. You should provide a link to the relay datasheet.
If it's one like in the stackexchange link, the relay's led is cathode to the data pin, and anode to Arduino 5V. That's backwards from what you're supplying, so the led would never be on.
(But I'm guessing: provide details of the relay module.)
I have used 2/4/8 channels relays without any issue but they have opto isolation and transisitor switching - I can't make out what the components are on the single channel board.
These modules are made by the zillion....no manufacturer or data sheet
I have 5v versions and they work fine but I need to power the coil from a 12v source hence the 12v version.
If I power it from 5volts the red led illuminates not very brightly, the green led pulses with the digital pin high/low but the relay coil does not switch as not enough juice as 12v version on 5v supply.
Switch power to 12v and both leds remain illuminated
Take it away from the Arduino totally and power it from 12v to vcc and ground the red led (pwr) illuminates
Ground the "in" pin and the relay triggers and the green led illuminates
Wasted 3 hours on the blighter last night - think I will chuck it and it's 11 mates in the spares box and order a better board