There is no delete option. Instead, you can "Decline" candidates you're not interested in, and "Like" candidates you're interested in.
Then you can use filtered views to see only liked, declined, or new candidates.
Why can't I delete a candidate?
If you delete a candidate our system will no longer have any record of their application and our duplicate candidate application feature will not work. If a candidate has already applied to your job we filter out any further applications from them so you do not see duplicates.