If you did not sign the contract docs there is nothing to worry about, and there is no effect on your credit score by filling out an application.
If you did sign the contract docs and changed your mind about your purchase, or have not received the goods or services in a timely manner, you will be eligible to return the funds to the Lender.
If it is in the first 30 days, then you can return the funds without a penalty, however if it is after 30-days you may be responsible for the first payment.
This will all depend on the lender that is selected.