High voltage AC water electrolysis not working
From the comments, mcocdawc:


  Was it DC or AC?


OP:


  AC. I was trying to see if it was possible.


There's your problem. Alternating current spends half its time pushing electrons forward through the circuit, and half the time pushing them in reverse through the circuit.  Thus, on average the net current pushed through the cell is zero.

So, leaving aside any metal dissolution/deposition, you were forming tiny, tiny amounts of electrolysis gases at the surface of your electrodes while there was current moving through the cell in one direction, but immediately consuming them again when the current reversed. The total number of coulombs passed in each direction was presumably so small that no gas bubble nucleation occurred before the polarity reversed.



Regardless: STOP USING $\mathbf{500V}$ FOR ELECTROCHEMISTRY EXPERIMENTS. It's way more potential than you need, and terrifically unsafe. In most cases, anything above $40~\mathrm V$ is overkill, and for most experiments that $9~\mathrm V$ battery you mentioned will more than suffice.