Hard to say without any idea what you mean by "it didn't work." There are a whole lot of things that can go wrong and any advice we give in troubleshooting one of those paths may lead you further and further from finding a solution, which may be really simple.
Here's a something I would look for though,
Identity Insert must be on on the table you are importing into if that table contains an identity field and you are manually supplying it. Identity Insert can also only be enabled for 1 table at a time in a database, so you must remember to enable it for the table, then disable it immediately after you are done importing.
Also, try listing out all your fields
INSERT INTO db1.user.MyTable (Col1, Col2, Col3)
SELECT Col1, COl2, Col3 FROM db2.user.MyTable