When to?

Since they didn't flower, I'm thinking you should not prune them. There are different types that need different care. Take a look at this article, Mary:

http://www.millionplants.com/niagara-garden/wont-hydrangea-bloom/

Do not prune hydrangea's! Never! Hydrangea's will not bloom if you do. Let them die off in the fall, put up with sticks and old flowers on the plant. In the spring, when shoots appear on OLD branches, count from the bottom up to three shoots on each branch and you can trim above that if you really want to control the size?

You can prune in the fall. Usually you prune hydrangeas immediately after they bloom but since yours did not bloom at all it is probably fine.

Hi Mary. I would not prune it this year. Some like to be pruned while others don't Some that I have get the new blooms and growth from what appears to be dead sticks in the winter. I would just leave it and see what happens in spring.

Here's a helpful post on how and when to prune hydrangeas: https://www.hgtv.com/outdoors/flowers-and-plants/trees-and-shrubs/hydrangea-care-to-prune-or-not-to-prune-your-hydrangeas