They did. You can find old answers by /u/anthropology_nerd detailing the enslavement of Native Americans here and here, as well as several additional perspectives on the question from /u/partymoses, u/derprofessor and /u/drylaw here.

On top of Iphikrates's comment, something to also take into account is that Native Americans didn't have the same immunities as Europeans. Many of them died of various diseases that used to plague The Old World. Africans on the other hand had plenty of contact with Arab and Berber civilizations alongside those with European powers when they started trying to set up trade routes/colonies there. So they were healthier and could be brought over in large numbers. Also Africans slaves were completely out of their element and other than taking refuge in a native tribe there weren't many options if they did escape. If they do happen to escape they don't have a base of support to rally for and there was a good chance of just dying in the wilderness. Penal colonies followed a similar line of thought to that. Sure you can escape but it's not like you can go home and get help. The chances of that are outweighed massively by your choices of dying.

Spain and Portugal went the other way about it though and used a lot of Native American slaves to build their colonies. As their manpower needs grew they brought in slaves from Africa.