With many of Canon's advanced series of DSLRs (e.g. 5D Mark III, 7D Mark II), it would be possible that the Depth of Field Preview button has been remapped to perform some other function.
But the 5D Mark II has no custom function setting in the menu that allows remapping of the DoF Preview button to do something else. When you press the DoF Preview button on a 5D Mark II, there's only one thing it should be doing: stopping down your lens to the selected aperture.
Here's how to test to see if the DoF Preview button is doing anything:
- Set the camera to Av or M exposure mode.
- Set the aperture to the narrowest setting (largest number such as f/22 or f/32).
- Turn the camera around and look in the front of the lens.
- Hold the camera towards a source of light so that you can see the light shining into the viewfinder opening, through the prism and focusing screen, and reflecting off the mirror and out the front of the lens.
- While looking at the entrance pupil (the aperture diaphragm as it appears through the front of the lens) press the DoF Preview button.
- You should be able to see the diaphragm move and the entrance pupil get smaller.
If you don't, then the DoF Preview button is not working properly.
As several comments to the question have mentioned, the effect can be subtle, especially if you are in a very bright light environment and your pupils dilate to compensate for the dimmer viewfinder through which you are looking when the button is pressed. There will probably be very little detectable difference at all between apertures wider than f/2.8 or so, as the viewscreen/focusing screen between the mirror and the prism effectively 'cuts off' at around f/2.8.
From the question and some of your comments it almost seems like you expect something to light up in the display showing you what is in focus and what is not in focus. This is not the case. The DoF Preview button just stops down the aperture diaphragm of the lens and you should be able to see a deeper depth of field by looking at the various areas of the scene itself.