It looks green, more like an aphid or thrips. Mealy bugs would be white and "fuzzy" looking. Is there any damage to the plant? Are there lots of these bugs?

For a seedling that small, I'd go light, something like spinosad should work if it's thrips, Pyrethrin if it's aphids, Treated 2-3 times 2 weeks apart. Then if that didn't work I'd use orthene, but only if the milder treatments didn't work 1st.

There seems to be tiny indents on the leaves but it could be just how the leaves are or is this insect damage? Here's a picture.
I have seen about 3 bugs on the plant so far.

on the leaf I found the aphid or thrip, there is tiny black dots on it, could they be eggs?

The smaller leaf in the center seems shriveled up, what would this be from?

Thank you very much.

This is the picture of the indents?

Go watch this video:

https://www.youtube.com/watch?v=lbRCdJ8ZNF0

Thanks.

Those shriveled leaves are in fact the new leaves pushing out of the crown, they are not shriveled. Its new growth.
Wipe the bugs off and put nothing on your new plant until established. They look like aphids.