It is likely that you have the FET polarity when it is on opposite to what you are expecting. If so, a look at FET data sheet and uC (microcontroller) signals and work out what should happen when.
For a PFET (P Channel MOSFET) source should be most positive, drain should connect to load and FET is on when gate is below Vs.
For an NFET (N Channel MOSFET, drain should be most positive, source should connect to load and FET is on when gate is ABOVE Vs.
Your query can very probably be easily resolved if you provide adequate information to allow us to properly determine what you are doing.
What voltage is Vs?
What is the FET type? (please provide a part number and a data sheet link)
What is Arduino Vdd (3v3, 5V, ...?)
What is the polarity of the PWM signal that you expect to turn the FET on? (0V, 5V, ...?)
As shown in your diagram you have a wrongly connected P Channel FET.
As seen on your breadboard you have connections for an N Channel FET - gate would need to be driven ABOVE Vs to operate.
ie Your diagram is wrong OR your FET type is wrong.
You should tell us the Vs voltage, drive voltage and polarity of drive voltage when you want the FET to be on.
The diagram shows a PFET connected such that the body diode always conducts.
If you want to use a PFET you need source to positive, drain to load and gate must be driven negative relative to V+ to turn it on.
Gate must be at about V+ when FET is off and typically 3 to 10 V below V+ when FET is on.
If you are using an NFET (as the breadboard suggests) then you need drain to positive, source to load and gate must be positive negative relative to Vs to turn it on.
Gate must be at about Vs when FET is off and typically 3 to 10 V above V+ when FET is on.