A game being demanding on your system shouldn't cause it to simply shut off; that usually means there's some kind of hardware fault or misconfiguration, but it can also be driver related. First thing to do is make sure your system has updated, and make sure you have the latest drivers from AMD (probably Adrenaline, I'm not sure).
The other possible causes would be a CPU fault, which can happen if you overclocked it. Alternatively, your PSU might shut off if your system is drawing too much power in total (check your graphics card specs for the rating of PSU you need).
Overheating is a possibility but unusual with reasonably modern hardware because CPUs and GPUs should just slow themselves down if they're getting too hot. This would mean your performance would suffer, but it shouldn't just shut off.
As Buzzn_Frogg says you should install a monitor program like HWInfo to check. A CPU can theoretically handle temperatures up to 90ºC, but you really want them below 70ºC if at all possible (at or slightly above 70ºC isn't the end of the world, just not ideal).
If the CPU is overheating it could point to a problem with cooling; often this is dust build up (open up the PC and use a canned oxygen spray to clear it out, don't use anything that might generate static or leave liquid behind) or you might need to reattach your CPU's cooler (lower quality thermal pastes can degrade badly over time, so removing the cooler, cleaning it and the CPU and applying new thermal paste between them can make a huge difference).
Fortunately there are loads of YouTube videos you can follow if any of this sounds daunting, including a few general videos with tips for dealing with a sudden system shut-off.
