Thanks for the info.
Power off the AirPort Extreme, wait a minute or two, then power it back up.
Move the AirPort Express into the same room or close proximity with the AirPort Extreme
Power up the Express for a minute or two, then hold in the reset button on the back of the Express for 7-8 seconds. Release the reset button and allow a full minute for the Express to restart to a slow, blinking amber light status.

Run the setup again using your Mac to see if the Express will set up correctly. If it does, move the Express to a location that is about half way between the AirPort Extreme and the general area where you need more wireless coverage. The more that you have line of sight between the AirPorts, the better the network will operate.
If the set up fails, then repeat the same steps as above, but use an iPhone or iPad for the setup. To do that.....
Go to the Home Screen on the iPhone / iPad
Tap Settings
Tap WiFi
Tap on AirPort Express under the heading of Set Up New Base Station
If the setup still fails with the iPhone or iPad, you likely have a defective Express