Well, I had an experience when I made a deposit and nothing happened, here's the point of online you take all the risks. The most unpleasant thing is that you can still be blocked by everything.
What site was that? Did you deposit fiat or crypto? Have you contacted customer service etc?
With fiat credit/debit card deposits, you should be able to report it to your bank and reverse the transaction, that's one advantage of fiat over crypto deposits.
When trying out new sites always conduct due diligence and see if it has been operating for a while, if it has good reviews, and if it has a license in your jurisdiction - that's a massive plus.