Hi,
If I understand right, your objects don't cast shadows?
What type of light source do you use? Try it out with spot light or with the "Sun and Sky" preset in mental ray.
You may check the attributes for the lights under shadows and make sure
"Use Deep Map Shadows" or "Ray Trace Shadows" should be ticked.
Also you have to check under attributes for the shapes, here you have to make sure under Render Stats, that "Cast Shadows" is ticked.

Regards and Merry Christmas!