Then here are three possibilities:
a) PSU not powerful enough for that GPU (MSI recommends 400w PSU, but 350w should be sufficient for the average system).
b) GPU card needs auxiliary power and you haven't connected the 8-pin or 6-pin power cable(s) to it from the PSU (GTX 1060 consumes 120w but PCIe slot alone can only provide 75w max.)
c) The GPU may have been DOA