First computer build. Will not power on when connect CPU power cable

My 11 year old son and I have been building his first computer after he received most of the components for Christmas.

We have a MPGX570 Gaming Plus Motherboard (MSI) with AMD processor. When we try and turn on the computer, two LED lights will illuminate on the GPU so we know the system is getting power. If we do not have the CPU power cord(s)s connected to the Cougar GEX850 PSU, the whole system will turn on (fans spin, RGB’s kick on, etc). However, the moment we try any combination of the CPU power supply cables (the motherboard has an 8 pin primary with a 4 pin secondary connectors (female) for the CPU while the PSU cable has an 8 pin and 2 different 4 pin connectors (male) ) the unit will not power on and we just get a small clicking sound. I would assume is the PSU doing an auto shutoff because something is shorting out or grounding somewhere.

Originally, we thought the PSU was faulty and replaced it. However, the problem repeated and we began troubleshooting by disconnecting everything and turning the system on one thing at a time until we found the CPU power cable and/or connection being bad.

Any suggestions or help would be greatly appreciated.