The bulb and fuses are usually the first things to check so you're on the right track. Before digging deeper into wiring I'd ask. Did you confirm the new bulb actually works? Sometimes a bulb can be bad right out of the box. If that checks out then you might have a relay issue or a problem with the headlight switch itself. Those fail more often than people think. The Siennas usually have a relay module you can access pretty easily. What does the dash show when you turn on the headlights? Any warning lights popping up?
