Any LED's lit, Q-codes, etc..? What about beep codes: any pattern of long and short beeps? Listen carefully. You may need a small speaker for the motherboard.
Refer to the motherboard's User Guide/Manual to double check that all components are supported, fully and firmly connected, and configured. Go online to the mabnufacturer's website for updated information.
Do the same for all other components and their respective installation documentation.
No one wants to force a connection especially with a new build. However what feels tight and in place may not really be seated in.
With the system unplugged, check the connections, then carefully disconnect/reconnect, plug and unplug etc. each one three or four times.
You may discover that something simply slides or otherwise fits much more smoothly into place.
Check all switches and jumpers.
Go page by page in the applicable User Guides and Manuals. Use them as checklists so you do not overlook anything. Make notes regarding anything that is not as expected. Stop and resolve those issues before proceeding.
Work in a clean, well lit area. Use a bright flashlight as necessary to see clearly.
Take your time, be methodical. Be sure to read all fine print, caveats, and warnings.
Do not use any cables that did not come with the PSU.
Hopefully just some error of omission or commission.