I'm sure you have been over this already, but here goes anyway.
Did you make sure you aligned the CPU properly with the socket? Did you use too much thermal paste? Is the CPU heatsink tightened down properly? Make sure all power connections are aligned properly, and inserted fully. Did you forget one? Either the 6p, or 8p CPU power plug (one or the other) can be inserted inverted, so you have to check that the locking side lines up with the locking tab. Also, the 24p plug has a 4p insert that might back off slightly (I've seen this on some boards). Check your MB manual to be sure you are using the actual CPU fan pins. I have at least two boards (meaning different manufacturers) that have a second four pin header that is not the CPU header. Did you insert RAM into the proper sockets? Are the RAM modules fully inserted?
If you have checked everything, then reset the BIOS to default and reboot again.
If none of this helps find the solution then try your old CPU again.