Try with cable connected while reset. That's how the example is written.
Other than that, debug as usually - check clocks both physically (i.e. that there is 25MHz/50MHz clock on the ETH clock input pins on STM32), check that PHY is working (observe MDIO/SMI-related registers in ETH, observe signals on MDIO/SMI pins), check content of PHY registers retrieved through MDIO/SMI, check STM32/ETH MII/RMII connections to PHY, check PHY connections to magnetics, check ETH setup in software.
What hardware is this?
JW
