New Build: Not sure whats wrong :(

So starting off, im not even sure if this thread belongs in the right section of the forums  
Anyways, any kind of insight on the problem I'm currently having would be greatly appreciated.

So here's my problem: I'm a first time builder and I'm currently trying to put together my first system. So basically I've been following a whole series of youtube videos trying to put the pieces together with all the parts I ordered. I believe I did a decent job and put everything where they should be. However when I come to the process of powering on my system, the Fan on my Power Supply spins briefly for about 1 second and then everything just shuts down completely. However, during this entire process, the light on my motherboard remains on.
Basically, turn main power switch on, Motherboard light turn on. Power up computer, shuts off within a second, nothing on my monitor either.

Here are my parts (and I believe that everything "should" be compatible with one another).

-AMD Phenom II X4 965 Black Edition Deneb 3.4GHz Socket AM3 125W Quad-Core Processor HDZ965FBGMBOX

-G.SKILL Ripjaws X Series 8GB (2 x 4GB) 240-Pin DDR3 SDRAM DDR3 1600 (PC3 12800) Desktop Memory Model F3-12800CL8D-8GBXM

-SAPPHIRE 100314SR Radeon HD 6870 1GB 256-bit GDDR5 PCI Express 2.1 x16 HDCP Ready CrossFireX Support Video Card with Eyefinity

-ASUS DRW-24B1ST/BLK/B/AS Black SATA 24X DVD Burner - Bulk - OEM

-CORSAIR CWCH50-1 High Performance CPU Cooler

-SAMSUNG EcoGreen F4 HD204UI 2TB SATA 3.0Gb/s 3.5" Internal Hard Drive -Bare Drive

-CORSAIR Enthusiast Series CMPSU-850TX 850W ATX12V v2.2 / EPS12V v2.91 SLI Certified CrossFire Ready 80 PLUS Certified Active

-ASUS Socket AM3/AMD 890FX/CrossFireX/SATA 3.0 and USB 3.0/A and GbE/ATX Motherboard Crosshair IV Formula


So I've been reading around and I heard that I might have a faulty power supply? But of course, I'm not completely sure either. So like I said, any kind of insight would be helpful. Thanks in advance Tom's Hardware Community!