Controller Not Working

My controller doesn't work!

By default it should work. What controller are you using (Refer to Fishshapedfish's guide).
Make sure you're selecting/confirming menus with the controller and not keyboard -- otherwise it'll think you're using your keyboard and not controller.
Try exiting Steam (because Steam Desktop Configuration may affect it)
Alternatively, add th123e.exe as a Non-Steam Game and try from there. You'll probably want to configure the controls in game, and not using Steam's Configuration -- but I'm not stopping you.