I have the same problem.
I have enjoyed my WD TV Live and WD TV Live HD for many years now with no problems at all.
After opening the package, I connected the HDMI output of the WD Play to my TV and saw the sign-on screen loading, a blue cloud background with the message “Loading…” displayed.
After about 10 seconds the screen went blank and stayed that way. The blue power light stayed on.
After unplugging the unit and repeating this a few times, I was sure the unit was defective because I was using the same cable and TV as on the working WD TV Live.
I returned the first unit and received a second replacement unit. The exact same behavior!!
This time I connected it to another HDMI port on the TV - same problem.
Then I connected the HDMI to my PC monitor with a different cable - same problem.
When I called WD support, I was told that I must set up the unit first with the composite cable, not HDMI.
This is completely contrary to all instructions, my experience with previous units, and common sense.
Anyway, after connecting the composite cables, sure enough the Loading screen stayed on and led me to a SETUP screen. Here I setup the network, no problem.
Then I tried to select HDMI as the Video Output mode instead of composite. After completing that step, I was returned tp the SETP screen which still showed “Composite Output”.
Nothing I could do let me switch to HDMI output.
The result, I have returned the second WD Play for a refund.
This my first disappointment with WD - and yet I see many of you are enjoying it, even though you consider it generally inferior to the two predecessor products.
Any insights or explanations would help!