Yes and No. Your credit report does not show whether an application is approved or declined. So, being rejected for credit has no direct effect on credit scores.
However, when you apply for credit, an inquiry is added to your credit report, called a ‘credit application search’ (or hard search). An inquiry indicates that you have applied to take on new debt, but that debt may not yet appear as an account on your credit report. That potential new debt represents possible risk, so the inquiry can have a negative impact on credit scores.
Simply because no new account appears does not indicate your application was declined. It may have been the case that you just chose not to accept the loan or credit account.
However, if a lender sees that you have made a lot of credit applications in a short space of time, they are likely to turn your application down. They will do so because these applications make it look like you rely on credit to get by, and that you could struggle to pay them back.