Toilet supply line/tube sprays water from below the coupling nut
Remove the supply flex and make sure there is not an old rubber cone washer squished up into the fill valve, leftover from the old supply line.

Inspect the new line while it is unattached to ensure the washer/gasket/o-ring is in place and undamaged. 

Reattach using minimal torque, hand-tight should be enough (with maybe just a bit extra on it with pliers...), do not over-tighten.