Hi,
It's very unlikely that the watchdog system in a PIC does not work.
Thus I see just some possible reasons for your problem
* the watchdog setup is not properly programmed into the circuit
* wrong code
* wrong test method
Your given informations are too vague for us to validate.
If you don't want to show us your code, then I recommend to use just a minimal code containing:
* port setup
* testpin = output, Low
* wait 10ms
* testpin = output, High
* infinite loop
Then use a digital scope at the testpin with proper trigger detection.
Calculate the expected watchdog timeout.
Klaus