Start with the case, pick one or a few you like the look of, then look up builds on pcpartpicker and/or youtube.

Optimum Tech has a good roundup video of the good SFF cases that exist, and has reviews for each of them, as well.

I'm assuming you want to air-cool, IMO water cooling tiny cases is just a pain, but it can be necessary to fit the rad sizes required for hotter CPUs.

From there, pick the gpu next, look up what the max size of the GPU is for the case, and pick the best card that still fits. If you can't find something you like, find another case.

Pick a motherboard, this is easy, any itx will work. Make sure it has an M.2 slot and grab one of those for storage. If you need multiple terabytes, 2.5" sata ssds or even hdds are worth considering, if on a budget.

After that, pick the CPU cooler and CPU together, making sure the cooler can fit by checking the max height. Deliberately going for a low TDP chip here will let you get away with a low profile cooler without having to push the fans into loud rpms. Noctua has a handy lookup table where you can view which chips can be effectively kept in check by which coolers, and how well.

Last, figure out your system wattage and pick an SFX power supply. Watch out here, some cases require you to use a "smaller" SFX psu, as their lengths can vary.