There's always the chance of getting a new part thats DOA or you zapped it with ESD accidentally while installing it. Did you wear a grounding wristband during the install? As a minimum whenever you handle computer components, always first ground yourself to the computer case and only after that touch any part inside (or a new part). It's usually enough to touch the metal of the case if you don't have a proper grounding device.
As others said the problem actually sounds a lot like you forgot to install the 4-pin extra power plug to your motherboard. It's easy to overlook once you plug in the big connector. Other things to check for are CPU cooler, is it plugged in to the correct header - the mobo might shut off immediately when it detects no cpu fan is present to protect your hardware.
If none of the above apply, next thing is try to reset CMOS by removing the battery for a couple of seconds. Then if that won't work, remove _every_ component except the cpu, cpu fan, 1 memory stick and the VGA card (even that should be left off if you have built in graphics option). Then try booting barebones. If it starts to boot start adding devices one by one until you hit the trouble.
Are you sure your motherboard and its bios/uefi supports the cpu you're using?
Take a photo of your motherboard (with all the stuff installed) and post it, perhaps that gives clues.