Is it possible you aren't finished verifying your account? I believe you need to type the deposit amount ($.01) into Etsy to verify that it is the correct account. It would be on your "shop payment account" page. (It's been a while since I set mine up, so I don't remember exactly where it was :) ) It is also possible that you needed to do that within a short window of time, so you may need to restart that process.
Once it knows that the bank account is correct, your deposits will take no time! Mine usually get there in 1-2 days, but it can depend on your bank.
Hope this helps!