Bought a starter kit for my son. When building the first lessons, nothing worked. I checked the 5v and 3.3v with my multi meter and there was no voltage on both pinouts. I've experience with electronics etc. but not with the Arduino.
Should it provide voltage out of the box? Is there something to do to get this working? Or did i get a DOA?
I assume you plugged in an USB cable? Does the on-board LED blink?
is this a genuine Arduino starter kit?
Look Mega 2560 schematic and see how +5V and +3.3V ares "supplied".
@ruilviana
Or this one 
https://docs.arduino.cc/resources/schematics/A000067-schematics.pdf (found via https://docs.arduino.cc/hardware/mega-2560/).
Brilliant that there are two different versions )which are probably technically the same) 
Some experience, not an expert
The USB is plugged in. Arduino IDE is working. We did run a sketch with different time delays for the LED.
Are you sure you measured correctly?
When using USB, the USB voltage (5V) is available on the 5V pin; your board would not work if it wasn't because the 5V goes also directly to the main processor. The 5V (pin) feeds into the 3.3V regulator (which might be broken but I have some doubts).
What else is connected to the Arduino? Is anything getting warm? Does the LED blink when first powered up?