What do you mean by attested? Your original marriage license has a seal and is stamped and signed.

Copies that you get in the states from the county where you were married will also have a stamp, seal and be signed by the county clerk.

So are you showing a copy that you made by yourself? and if so, I am not sure how a foreign entity can certify a US document to be valid. I don't even think the embassy will validate a document (other than your passport). But, you can try them based on the fact that (hopefully) your wife has your last name) and they might write something along the lines of to the best of their knowledge.. etc.

What you need to do is an internet search for where in the state you were married is responsible for certifying your marriage license (Apostilles/Authentication of Documents) and go from there.