I was playing a game and my Pc just shut down and immediately i feel a burning smell i unpluged my pc and smell seems to be strongest near the back of PSU i don't know what to do i'm afraid of trying to turn it on again
Full pc spec please, including make and model of psu.
Don’t switch on your pc with that psu, you want to use a known good quality psu. If the psu has died trying to use it could cause damage to other components. This does sound like a failed psu.
If you want to get a replacement try and get a replacement-I personally never cheap out on a PSU as the cheaper models can take the rest of your system down with them if they decide to pop. Tom's had a very useful PSU tier hierarchy chart but sadly is no longer available (or at least I can't seem to find it)-it was useful for a quick insight on potential quality.