Brand Newbie here. Got the hive at Christmas and picked up the bees this weekend. Followed all the directions and set up and then found the bees were all gone this am. What would you do next?
Hi Asevy and welcome to the forum.
It is difficult to advise with so little information.
Followed whose directions?
How did you prepare your hive?
What kind of bees did you purchase? Nuc? Package? Full hive?
Maybe look for and join a beekeepers club in your area so you can have a back and forth discussion with experienced beekeepers.
All the best.
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Welcome to the forum! Sorry it’s under such puzzling circumstances 
I’d blow a kiss goodbye and get myself a healthy nucleus colony from a reputable seller.
As @ClintSC9 said, we need more details to be sure of why your bees were all gone, but there are some helpful clues here. Bees leaving en masse from a not-yet established home, ie where you want them to live but which they find unsuitable or not preferable would indicate one of three possible things:
A: They absconded - this happens when bees are overwhelmed by pests or disease, or they dislike the smell and try starting over somewhere else. If this was a package, perhaps they were able to chew the queen free and bond as a colony in order to make the decision to leave.
B: You had a swarm cluster, in which the queen was loose and able to fly with the workers. They were captured at a point where the colony had some options figured out and they chose a favorite overnight, and poof 
went for it.
or, C: You had a swarm and even though scouts may not have already found options, they disliked the smell of the brand new, painted/varnished equipment and decided to decamp to a tree branch to figure out where else they can go.
In any of these cases, they won’t return. If by chance you or someone spots a cluster in a nearby tree and you want to collect it, make sure to open up the hive to let it really air out, and then put a drop of lemongrass on a cotton ball inside your brood box before installing more bees. Go one better and get some beeswax to rub around inside the box as well. This will help make your new equipment smell more like a real bee home 
The reason I recommend getting a nuc (assuming you didn’t before, based on the very low likelihood of bees leaving brood behind) is that they already have most of the components of “home”, with drawn comb filled with brood and food, all smelling “right” to them. Nucs grow quickly and give you a lot more to learn from in a short time as well.
Let us know more when you have a chance!