Don't forget that linking it to ONE city is not enough. If the roads/harbors don't lead back to your full empire, then only the connected cities receive the benefits. Same for resources. I believe they would show in your resource/luxury box on F2, though?
Also, just having a road on the tile is not enough. The road actually has to connect to something; otherwise there is no path for the luxury to reach the city/cities. So if the road does not connect to other roads that connect to a city (or connect directly to a city), and roads don't connect from that city to your road network for other cities, then no luxury/resource for anyone not connected.
If in doubt, post a screen shot. It is much easier to see what is going wrong that way.
*edit* Also, you need to either control the trade network/roads or have them run through neutral territory to be 'connected'. If they run through another civ, you may not have access. I think that ROP allows a connection though? Never tried that. I always control the full network to my resources/luxuries, with the exception of water tiles, of course.