Troubleshoot lights don’t cast shadows

Check that the light's Illuminates by Default attribute is on when no light linking is intended.
Make sure Cast Shadows or Receive Shadows are turned on for the object.
If a shadow depth map is expected, check that Enable Depth Maps is turned on in Render Settings window (Windows > Rendering Editors > Render Settings).
If a raytraced shadow is expected, check that the Ray Depth Limit (for the light and in Render Settings window) are turned up to a sufficient limit.