Pumpernickel is made from rye flour. If a recipe refers to "pumpernickel flour", they are probably referring to coarse-ground rye flour, which is coarser than you'd use for regular rye bread. Coarse ground rye flour allows you to make the superdense pumpernickel breads you may be familiar with from Germany and Skandinavia. This style of pumpernickel, which is the traditional variety, is dark colored not from molasses or other additives, but from very long cooking (as in 8 to 16 hours).
If you want a lighter pumpernickel, more like the pumpernickel sandwich bread sold in the USA, use regular fine-ground rye flour combined with wheat flour, plus coloring agents. This is also the mix used for pumpernickel bagels.
As a personal recommendation, I suggest using dark malt syrup as your sugar and coloring agent for American-style pumpernickel rather than molasses. Dark malt syrup can be obtained from brewing supply stores, and some food stores with large "natural foods" sections.
Without seeing the loaves or knowing your exact procedures, it's hard to guess. My money would be on too dry a dough. Could also be inactive starter, too long a bake, not a hot enough bake, not enough rise time/temperature. So I'll just talk about how I make sourdough in the hopes it'll help. These are techniques I've learned from various books (most notably Reinhart's The Bread Baker's Apprentice) and experiences.
If I did it right, you can click any of the thumbnails for full size images.
First order of business, of course, is having a nice, active starter. I build my final starter from the barm the day before. Depending on my schedule, I either leave it at room temp all night or feed it earlier in the day and pop it in the fridge. It then comes out to warm up a few hours before I bake. It should show strong signs of life. This starter was made with nothing but flour and water--no grapes, no commercial yeast, no juice.
Then comes mixing and kneading. I like to mix the starter with the water first, allowing the starter to break up and dissolve a bit. This ensures good mixing with the final dough. Then I add the flour and salt, mix to a coarse ball...
...and switch to the dough hook for 5 minutes or so. The dough should be stickier than you think it should be. Turn it out onto a floured surface for 4-5 minutes of final kneading by hand to adjust the flour. It should be smooth and supple, still be a bit tacky, and pass the windowpane test. When you stretch it to form a boule, the outside should be smooth and not tear.
Let it rise 3-4 hours at room temp or slightly warmer (a closed oven with a bowl of hot water works well). Then shape and proof for another 3-4 hours.
I start with a very hot oven. 500-550F for artisan loaves. If using a stone, get it in there 45-60 minutes before baking, that way the stone and oven get a good heat soak. Then when the loaves go in, you want to create steam to allow the bread to rise before the crust hardens. A steam pan is a good idea, and I also spray down the walls of the oven with a squirt bottle. Be careful of squirting the light bulb--it will shatter. Don't ask me how I know. After a few squirts, turn the heat down to your final baking temp. I usually go with 450F.
Don't forget to slash them, too. That helps them expand and prevents blowouts. I had some issues getting these guys onto the stone (not my finest hour), but they were still outstanding. You can see the crumb is open and light, but still gelatinized and chewy. Perfect, in my book.
Best Answer
The primary coloring agents in a traditional black Russian loaf are molasses and dark rye flour.