PSU's usually query the motherboard at start up and shut down if they don't receive a proper signal back. It sounds like that is what is happening.
Double check all of your connections. Some of the plugs look almost the same but are not. In particular, the EPS and 8-pin PCI Express connectors look the same but provide different power levels.
Also ensure you have all of the required connections made on the motherboard.
The following like explains all of the connectors:
PSU connectors