Make sure you have 2 profiles, at least. Start a game or load a save with one controller, then once character creation or the save loads, press the start button on the second controller (right arrow button on the Steam controller, to the right of the Steam button), select a profile to use (even though all saves go in the first player's profile) and each controller should be controlling one character (or more, once you get far enough in the game to recruit companions).
If that is what you were trying, at the screen before the main menu, when prompted to press a key or button to select the input method, does the game recognize the thrushmaster if you press a button on it first?
On the main menu, you can change the input method in the options, or hit Esc or the B button to bring up the key/button prompt again.
In the Game section of the options, at the bottom, there is an option to 'Force Splitscreen' (excluding during combat) even when the characters are close together, rather than dynamically splitting when the characters are a certain distance apart.
