New PC turns on for about ten seconds then shuts off

This is my first build, and I have no idea what's wrong. I plug in the power and turn on the computer. Everything lights up, the fans start spinning, (no sounds or beeps or anything) but then after roughly ten seconds it shuts off. Then a couple seconds later starts back up and continues this until I cut the power. I'm guessing something may not be compatible but honestly I have no idea. It has:
Gigabyte GA-Z170X-Gaming 5 motherboard
Crucial 16GB 8GB x 2 DDR4-2400
MSI GeForce GTX 1060 Gaming X 3GB
Corsair CX650M 650 Watt ATX Modular power supply
Intel Core i7-6700K 4.0 GHz
Crucial MX300 275GB 2.5" SSD
Cooler Master Hyper 212 LED CPU Cooler
And a 1TB internal hard drive. And I believe that's it. If there's anything that I might have done wrong or anything that anyone can do to help please tell me, everything is appreciated.

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Clarification Request
Did you build it all at once?

I see the CPU has onboard graphics so you only need the board, PSU, one stick of RAM and the CPU+HSF to see a boot screen. No other parts required.

Start small.

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I did everything that you said and still have the same problem. It turns on for 10 seconds and then shuts off, only to turn back on repeating until I cut the power supply. Anything else at all...?

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So what about making it even smaller?

I don't need a case.

Now I'm not there to look over the machine but did you check all motherboard jumper options?
Is the CPU on the support list for the BIOS version it arrived with?

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PS for really small,

No RAM is required. Actually have gone as small as motherboard and PSU. If those 2 parts are not staying on, we are looking at the possible bad parts.

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Just the motherboard and the processor with the cooling

So the power system is connected to the motherboard which has the processor and the cooler master. But it's the same thing happening. So I don't know what else to do...

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And we can go even smaller.

I've setup just 2 parts. No case, just board and PSU. If that won't stay up it's one of those 2 parts.

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Second Post

I posted another reply but forgot to mention to test for shorts from the motherboard to the mounting plate.

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Check seating of CPU

I had exact same problem on a build. Before exchanging parts check that the CPU is seated tight and flat against the heatsink and thermal paste is applied adequately.

This a classic symptom of CPU over heating at startup if it is not a bad component.

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