Arduino Mega External Power Issue

Hello sir,
I have an Arduino Mega2560. I have been using it for a month and tried to power externally for the first time. When everything is removed from the board the "on" led lights up. But when I connect some components between 3.3V or 5V and GND, the led goes off. It works very fine with the USB cable plugged into my laptop. I bought the arduino used so I don't have an idea how it might have happened. Anyone has an idea what the problem is? How may I solve it?
Thanks in advance

(deleted)

Exactly which components do you hook up? How much current do the consume?

Which external voltage do you apply (9V, 12V, ...)? To the barrel connector or to Vin?

The 5V voltage regulator will convert the product of voltage difference and the current drawn into heat that needs to be dissipated. If the voltage regulator gets too hot, it will shutdown.

And there is obviously the chance that the previous owner blew it up.