Give it time! You just got him and it is normal for a dog to not totally trust you when you first get them. Just spend time with him, keep up the training and eventually he should come around.
Thanks for the advice, Amaryllis! We were told that we should enforce our rules firmly, but kindly, from the very beginning by saying "no." For instance, if he jumps on the couch, correcting with a "no" and then asking for a sit and rewarding the positive behavior. For every correction, we always elicit two positive and rewarding behaviors. We've had him 5 weeks, and he is incredibly smart, so he knows most of the house rules by now and they need little enforcement.Stop with the corrections, even just "no". Some dogs are very soft and find that terrifying, and anyway, he doesn't know you, he doesn't know the rules. He's not "challenging" you. He's trying to figure out what you want.