Comparing apples to apples, same speed, architecture, generation etc, xeons are not cheap. They're more costly than i7's since they're business/enterprise class components and come with a premium. When you find a xeon that's cheaper than an i7 (equal current counterparts), it's because it lacks features. Either lacking igpu, lacking core speed etc. It's possible to find a xeon cheaper than an i7, such as the 1231v3 vs the 4790k. It has a locked multiplier, is far slower and no igpu. Just like a lower end locked core i5 4th gen is quite a bit cheaper than the 4690k, purely because it's slower and has a locked multiplier. Even at that the lowest end 4th gen i5 still has an igpu so if there were one without the igpu as is the case with a 1231v3 vs 4790k, it would be even cheaper yet.
Many old 'workstation' dual socket motherboards with old outdated 2x xeons for cheap and would struggle with a current 'mainstream' i5 system due to age. Your current budget will only take you so far as others have pointed out. It's just not possible to comfortably take on high end tasks on a low end budget or everyone would be doing it. Pc gaming is more expensive than console gaming. A pc can produce better results but not without costing for that performance. Even if you found a similar performance pc build in the cost range of an xbox one or ps4, chances are there would be quirks such as frame drops and other things that wouldn't happen on the console.
Pc games aren't nearly as consistent as they are on a predictable assembly line console where the developers can plan for one static build and know their game will play the same way each time. An upper end to high end gaming pc can easily cost the same as a console for just the graphics card much less everything else. Just things to consider when weighing out which way to go. Likewise, if you have a higher budget you can't buy a ps4 that plays better than another ps4 even if you wanted to throw the cash at it. With a pc you can.