Dying of thirst.

Could it be that simple? According to the research I did, it should be a "deep watering" twice a week, less if it's cool/rainy. How much should I do?

Looks like you might not have pruned the tree enough if you pruned it at all at planting time. When trees are transplanted they lose like 90% of the original roots from the nursery, so the tree needs to be cut back to 3-4 feet in height and the branches all cut way back near the trunk. This will restore balance between the roots and the rest of the tree. Otherwise the root system just isn't good enough to support the size of the tree you have there. So it makes sense that if the root system is small, the tree isn't getting enough water or nutrients to keep it happy. I would basically chop the tree in half and it will do much better. Seriously.

If the clay was heavy, you basically created a bucket in it by planting the tree in mulch; my guess is your roots are dying of rot. If so, there's not much you can do at this point, and after it is completely dead you can dig it up and do a post-mortem and see if the roots are all there and just dry (underwatering) or rotted and stinky (drowned).

Applenut's right

Well crap. The one thing that might help is the clay is a good 8-12" under the root ball, I dug it out pretty deep. just now dug down with a trowel and theres no pools of water or anything, but the compost is pretty moist. So I guess I will stop watering until I dig again and its dry. And hope I didn't kill the little guy :(