So I have been working on my SR-X build for 2 years, with many setbacks and a budget scraped together in between crisis. Here is my setup:
 
Intel E5-2630V2
EVGA SR-X
EVGA GTX 690
32GB of corsair RAM
Enermax gold 1350 watt PSU
watercooling provided by natemann Doo and various other manufacturers such as koolance and bitspower.
 
I won't go into fans and hard drives, because it never got that far.
 
After 2 years of work, I finally was able to afford the last part I needed, the CPU. I assembled the machine, tested watercooling separately, tested fans and lights separately, and finally plugged everything in.
 
Nothing. Short burst of light and fan spin up, and then off. The power light and the other status lights showed normally.
 
I assumed the 2 year old unused PSU had taken a dive, so I dropped a pretty penny on it's newer cousin. The Platimax 1350.
 
Same problem.
 
So, I took the RAM, CPU, video card all out, same thing. I tried unplugging each power plug one at a time, and I didn't get anything conclusive. So I plugged everything back in, baffled, and pressed the power button one more time.
 
There was a puff of smoke, and a few small sparks. So I immediately cut power and examined the computer. Just in between the PCI-E slots are little flat chips which I am guessing are the flat caps/smart caps? Regardless, the top row of those chips are all burned, with tiny holes in them. the second from the left on each row under that is also burned.
 
I am going to be submitting this to RMA, but I'm so confused as to what went wrong that I just want some input, does anyone know what could have caused this? Any tips for troubleshooting similar issues in the future?

Based on what you have said I don't believe you did anything wrong or out of the ordinary. Hopefully your RMA will go through quickly.