If the Corsair PSU is a HX (modular) then it has one 8 (4+4) EPS 12v connector and four PCIe 6+2 pin -the PCIe connectors are clearly labelled as such on the plug. If the PSU is a TX (fixed cable) the only difference is that it has two fewer PCIe conectors-but the two that are present are also clearly labelled. I don't think a PCIe connector will fit in the EPS 12V socket on most later motherboards.
If all the components have been purchased together then it's a process of elimination. Unfortunately you will probably need access to another LGA1366 board or CPU.
Before getting to that stage I would try to eliminate as many variables as possible by:
Plug the power cord from the PSU into the wall socket -have both the wall socket switch and the PSU switch SWITCHED OFF. The chassis is now grounded and touching any unpainted surface regularly will dissipate static electricity buildup. Avoid working on a carpeted area and wearing nylon or synthetic clothing as much as possible as this can cause static buildup.
Remove the mobo from the case and set it up on the anti-static bag it came with-place both on top of the motherboard box or another firm surface- when the board is powered up this way you can eliminate shorting as the culprit.
Remove the cooler and CPU -thoroughly check the CPU socket for bent or broken pins. If you look at the socket from multiple angles any discrepency should be apparent. If you have keen eyesight you can also look at the contact pads on the underside of the CPU-each will generally show a slight mark from it's contact with the corresponding pin in the socket.
If these checks show no visible problem then re-install the CPU and cooler after first cleaning the old thermal grease off both the cooler base and the CPU heatspreader (and any that may have gotten around the mobo socket area) with Arcticlean/Isopropyl alcohol and lint-free cloth.
Plug in the motherboard 24 pin and 8 pin EPS. If you removed the RAM then insert ONE STICK ONLY into the motherboard -into the 1st orange slot.
Add your graphics card and connect the PSU's PCIe connector
Check to make sure that the motherboard battery is inserted fully.
You now have all the components you need for a POST.
Connect the monitor to the graphics card, connect keyboard and mouse now of if the system posts.
Turn on power at wall and PSU, press the onboard power button on the mobo (near to the 24 pin mobo power connector)
If you have life then good. If not then power down and swap out the RAM stick for one of the two remaining ones and repeat the power-on, if no go then repeat with the third stick.
If at this point you still have a no post then you need to test individually.
The PSU is the least likely candidate but the easiest to test-use a cheap voltmeter from an electronics/home hardware store or have it checked by a pro.
If the PSU tests good then the likely culprit is the motherboard. DOA's for motherboards greatly exceed those for CPU's. To be 100% sure you would need to test the CPU in a known working X58 board- but having already tested the PSU and RAM (the graphics card could be fritzed but would most likely show something on the monitor, even if it's just flickering. You can test this by inserting it into any system that supports a PCIe graphics card)
At this stage I would RMA the board-just on suspicion. New Intel CPU's seldom arrive DOA, motherboards on the other hand can have a 10% DOA rate depending on brand, shipping method and wholesaler/etailer.