Most likely these seahorses were not treated before they were introduced to the store you got them from. When a bunch of seahorses are housed together, it is very likely that there are parasites on them, especially when they are fresh from the store's supplier. Were they eating to begin with? This aside, ALWAYS make sure whenever you purchase a seahorse from your LFS that it is eating frozen food and that they are active and not curled up on the bottom of the tank.
When seahorses lay on their sides, this is a very critical symptom of either gill flukes (that prevent them from breathing) or malnutrition or they may have been stung by a coral. You need to pull them out of your tank with some of your tank water and give it a bath in Hikari's Ich-X (formulin) with 1 tsp/gal of water. MAKE SURE YOU AERATE THE WATER; a powerhead or air pump will work fine as long as it doesn't produce a lot of microbubbles. Let them sit in this bath for about 45 minutes, but pull them out of they start laying on their sides. ALWAYS perform this procedure before introducing any seahorse to your tank to prevent unwanted flukes and parasites from entering your tank.
If the SH is not eating frozen food, you may give them live brine shrimp. For larger seahorses, you can try ghost shrimp. Always try some frozen food first before giving them live foods, so they can start distinguishing that the frozen mysis is edible. I highly recommend soaking the food in Selcon or Kent Marine's Zoecon to make sure the seahorses are getting all the nutrition they may need.
I have been handling ALL seahorses that have been in our store since I've worked here, and I've learned how to treat all of the different seahorses we've had the hard way, for both wild-caught and tank-raised seahorses from Kudas, Reidis, Erectus, Comes, to the tiniest Zostarae. If you get them from our store, I can ensure that they'll do well in your tank, and I can further walk you though how to take care of them in more detail. I've set up over 10 seahorse tanks in the last year, and have yet to get a complaint from my customers.
If you need any help, feel free to stop by the store anytime. My name's Christine. Good luck and I hope the little one makes it!