If you mean the pre-order bonus items (mounts, pet, etc), then check your Collectibles; they were added without a notification.
(that's how it was for me on PC, but I don't use Steam.)
(I typically DO get in-game notifications that the items were added to my Collectibles, but it didn't happen that way this time.)
If you mean the actual content... that doesn't drop until June 2.
Do you by any chance play from launcher but not from Steam? If yes you may need to launch the game from Steam and log in once to active it. Then you can keep logging in from launcher.