Make sure you didn't plug the Pi cable in backwards, you can use a multimeter to check that these voltages are correct when the Pi is powered:
Are you hearing a strange sound when powering up the Pi? The battery might be in a bad spot where it's causing interference noise with the audio jack. If you remove the mounting screws from the Pi on the back of the bottom case, you can separate the two parts while it's still powered.
Once they're separated, reposition the battery and listen carefully to the noise. Position the battery in a spot where the noise is less prominent and mount it in place with tape or mounting tack.
Another option you can try is to adjust the pot on the sound amp. Lowering the gain may fix the sound interference when repositioning the battery doesn't work.
The best location for the battery I've found is directly tucked inbetween the Raspberry Pi and the PiTFT display.
Retropie has sound options built into the software. It may be muted or set to really low. To adjust it, press the "Start" button to bring up the Menu. Then, use the D-Pad to highlight “Sound Settings”. Use the “A” button to select and D-Pad to increase volume. Press the “B” button to exit.
If the PiTFT display turns black when you press one of the gamepad buttons, the trace that controls the backlighting might need to be cut deeper. The label #18 on the back of the PiTFT is active by default - triggering it turns the display off. Make sure this trace is cut to deactivate this feature.
If the PiTFT display only display a white screen, chances are the img wasn't properly burnt to the SDcard. Be sure to follow the steps Easy SD Card Setup guide to correctly burn the image.
If you're interested in making one of the PiTFT buttons mute the audio, Martin O'Hanlon made a function.
1)Wrap the battery in copper tape and then electrical tape. Then you solder a wire from the ground of the audio circuit to the copper. It helps to solder to a random piece and then stick it to the battery so you're not soldering on the battery itself as it's dangerous.
2)Buy tiny ferrite beads and put them around the speaker wires. Ferrite beads provide EMI shielding and putting them around the speaker wires worked like a charm.