To build your own, you must start somewhere. The motherboard, the CPU, and the graphics card must work together. A good gaming PC needs a good graphics card more than anything else, so perhaps you could look for one that you like (with your budget you could aim high), then look for a motherboard that works well with that, then a CPU that works well with the motherboard. Now you have your basic backbone.
Don't go cheap on PSU. Use one of the power supply calculators on-line to calculate roughly how much power you need, then multiply it by 150%-ish.
You also want to consider getting SSD for storage to cut down on your game's loading time. Keep in mind that size does matter for SSD in terms of speed, i.e., SSD with larger space is faster than SSD with smaller space. But there usually is little to no difference between 256 GB and 512 GB, so 256 GB is a good cut-off line, for now.
You need about 4-8 GB RAM. You don't need to go over 16 GB RAM for a gaming PC.
You also need a good case for cooling. And good keyboard, mouse, and mouse pad.
Post back what you've found (with links), so others can check and comment easily.