It could be a lot of things-it's really impossible to know without looking over what you've done. What you are experiencing is not uncommon-especially for first time builders. You need to look through all of your components and connectors and double check that everything is seated properly or connected properly.
Is your CPU installed correctly?
Is your RAM fully seated in the slots?
Have you plugged in the power connectors for -motherboard -CPU -GPU -drives
Are there any loose pieces or anything on or under the motherboard that could be causing a short?
Is your power button connected correctly to the motherboard--have you tried using a screwdriver to short the pins to turn it on?