Can this power supply provide 5 amps no matter what the voltage is set to ?
I suggest using a 6V power supply capable of giving at least 1 amps per servos (these can draw up to 900 mA at 6V).
If all the servos are working when you test them (I assume you are testing them with the servo controller) there is only a few reason that can cause this:
Power supply not strong enough (make sure the voltage is withing the specs of the servos and that it can continuously deliver at least 5 amps at 6V).
Bad wiring
Problem with the control board
If you could share a few pictures of your wiring it will help. A picture of the tag on your power supply will also help.