Things die in transit, it's known as DOA or Dead On Arrival.
1: Check the PSU for the smells of departing magic smoke,
2: Go round and double, then triple check all your connections. They are all keyed to fit only in the right places. Any plug that needs force is being plugged into the wrong place.
3: and tell us that the user of an electronics forum didn't buy the cheapest one-hung-low brand PSU? Please?
Things that bite people:
There are 2 different 8 pin sockets, one on the board, one on graphics cards with very similar sockets. They are keyed differently and have different pinouts, but a strong person can force the wrong plug into the socket, leading to possible magic smoke loss as you connect high current +12v directly to ground.
Low cost PSUs are junk. Clean power is important in your projects and it's important in your computer.