PSU (Power supply unit, yes) and CPU (your processor). Sometimes the processor isn't quite seated all the way in. Try unhooking everything except the processor, the power supply and the fan connection. Power it up. Does it start ? No ? You could shut it back off, take the fan off, take out the CPU, reinstall the CPU (processor), apply thermal paste if you didnt already, the fan. Plug in the fan and power the computer back up again.
If that works, you can then power the pc down, and add your hard drive. Each time you add something though, power down first. You shouldn't hotswap things (plug stuff in while the computer is on).