There are two big things that can cause this, but NOT "big" problems - easy to fix.
1. This one is VERY common with new builds by people with limited experience: a short circuit from the bottom of the mobo to the case caused by improper placement of mobo stand-offs. Stand-offs are items, often brass, about ¼"long with a hole in one end and a threaded shaft out the other. They are screwed into the back mounting plate of the case, and then the screws through the mounting holes of the mobo are screwed into the tops of the stand-offs. These items establish a clearance space between the bottom of the mobo and the case's mounting plate. Look closely at your mobo - it usually has nine such holes in three rows of three each. Each hole has small metal "fingers" around it for contact with the mounting screw. The mobo is SUPPOSED to be grounded to the case by these screws and the stand-offs at these points ONLY. There should NOT be any other contact with the case.
Many cases arrive with stand-offs already installed in the most common locations for them in the case mounting backplate, BUT that plate also has other holes for different locations. Other cases arrive with none installed, and the stand-offs are in a bag for you to install. So to start with, you need to remove the mobo carefully from the case. Examine very closely where the mounting holes in the MOBO are and compare that to where the stand-offs are already in the backplate. If there are NONE that is certainly your problem. If they are there, match them carefully to the mobo holes. There ought to be a stand-off under every mobo mounting hole for support. But most importantly there must NEVER be a stand-off where there is NO matching mounting hole in the mobo. A misplaced stand-off or some missing ones can cause a trace on the back side of the mobo to short out to case ground. Check the count - must match the number of mobo mounting holes. When you have them all properly located, re-install the mobo carefully and make SURE every mounting screw you put into a mobo hole HAS a stand-off matching it underneath.
Just as a last note - I had this freak thing happen once - check how all the mobo's rear sockets and connectors fit into holes in the case back panel. I once found a springy "finger" that was supposed to slide over the outside of a connector shell has slipped inside to touch a connector contact.
2. Every fan header on a mobo has an important secondary function - it monitors the speed signal coming back to it from its fan for NO signal, indicating failure of the fan. If that happens you get a warning message on screen. But many mobos do an extra thorough job for the CPU_FAN header particularly. If no fan speed signal is detected there, it may shut down the system pretty quickly to avoid having the expensive CPU chip damaged by overheating, without even waiting fo the CPU's temperature sensor to show a high temp. Such mobos may not even allow you to start up if there is no fan speed signal detected immediately at start-up. So, check what is plugged into the CPU_FAN header and ensure it is well connected.