Testing power supply

This might sound like a silly question but I've never tried this before. I just got a new PSU in the mail today. I am not ready to start the build as I don't have all the parts yet (including the motherboard) but I figured at least I could plug it in and let it run for a bit to make sure it's working at all. But plugging the PSU in and hitting the power switch didn't do anything. Fan didn't run... nothing ran. I've never tried this before but I'm guessing that this won't work? That it has to be connected to the motherboard for it to turn on?