The pedal should be started on the threads by hand. Keep the pedal horizontal, then turn the pedal towards the front of the bike. If you feel resistance, it might be misaligned, and you should try again.
If the pedal will not thread properly, check to verify you are using the proper left or right pedal on the correct side of the bike. The right pedal should turn clockwise and the left pedal should turn counterclockwise.