Make sure you have selected a source (bottom of OBS next to Scenes).
Recommendation: Make sure your game is in Windowed Mode (Fullscreen) then in OBS, select Video Games from source (use the + button). Name it whatever you want then click ok to get to a form that allows you to select which window you want to capture. Selections are obvious not sure there is a wrong answer.
Note: I personally did not choose the option for "Any fullscreen window" and instead opted to choose the window for the game I was playing. Make sure the game is running first (not the games launcher).