Did you look to see if the linkage is free & working..?? If it is, more than likely the pins are sheared on the locking collar, that locks the differential. Hopefully this link will carry through from Case/IH online parts book. Look for parts 11 & 12.
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Has the differential lock ever worked..?? The differential lock is NOT to be engaged while the wheels are spinning. If a tire starts to spin, stop, engage diffy lock, then proceed to move again. You should feel the pins engage, and wheels will stay locked, until you release the lock. To disengage, change, or stop direction of travel, decelerate with foot off the pedal to release it. If you look in the exploded view of the differential, you will notice two springs on the locking collar to do that.
It appears the pins are replaceable, if that is the case, and there is no damage to the locking collar.
They are designed to be the weak link in the assembly. Better to shear those pins, than damaging the other components of the differential.
Years ago, a buddy of mine turned his 4020 JD over to a younger fellow to give him a break from moldboard plowing, for supper. He told him about a wet spot in the field, and would probably have to use the diffy lock to pull through it. He assumed he knew to stop to engage it. Nope..., apparently not. Cleaned the teeth on the ring & pinion, after repeatedly engaging the lock while spinning, costing him quite a bit of money in repairs, plus a week of down time.
You can also divert power to the other wheel by feathering the brake on the spinning wheel, if your brakes are in good working order. It's a little easier on things, than throwing all of that torque on those little pins all at once.