What's the model number of your Express displayed under Settings->System->About? Are you trying to connect to 5GHz or 2.4GHz Wi-Fi? Do you know what Wi-Fi channel your router is using?
Note that Roku devices only support 2.4GHz Wi-Fi channels 1 to 11 and the ones that support 5GHz Wi-Fi don't support all 5GHz channels (only non-DFS channels).
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