I would start as soon as you bring him home giving him different vegetables and fruits in several different ways, cooked, raw, chopped, mashed or whatever way you can think of, he may surprise you and like them, thats too bad he was never given anything but the pellets, they are nutritious but should not be the entire diet.
There are some threads in the bird food room that lists the vegetables and fruits he can have and be sure to familiarize yourself with the toxic foods so you will know what not to feed.
He can also have some nuts, seeds, grains, legumes, rices, pastas, my Josey loves any kind of pasta especially spaghetti and you should find those in the bird food room also.
In fact take a good read thru the entire bird food room for lots of ideas and suggestions for what to feed YummYumm, there are also recipes for things you can make just for him, good ones too.