Which unit test framework are you using?
Can you give a small, self-contained example where it doesn't work?
It is true that in general, we do not encourage the use of such setup and teardown methods with Pex, but they should work in most scenarios.
With MSTest, methods marked with [TestInitialize] and [TestCleanup] should get executed before and after each individual test run that Pex does, possibly many on a parameterized unit test.
Nikolai Tillmann -
Tell us how you use Pex