No. A 500 Watt Power Supply can DELIVER 500 Watts, but it will ever use only as much as the components in your PC need (and of course that depends on Load and Activity, if Energy Savings Mechanisms like AMD's Cool'n'Quiet or Intel's SpeedStep is enabled etc.).
In Theory, with a 100% efficiency rating, which is impossible.
The usual Efficiency rating lies around 80%, but it can vary greatly between low quality and proper power supplies.
So with 80% efficiency, your power supply will use as much power as your components need and then about 20% extra.
Another caveat: Optimal efficiency is only reached at a "proper" load. If you have a 500 Watt Power Supply but then a super-low-consumption PC that only consumes 80 Watt, you're not going to reach 80% efficiency and could easily use ~120 Watt (~50% efficiency).
Due to the ~80% efficiency, you can also not use 500 Watt out of a 500 Watt Power Supply.
Those numbers are all estimates, as PSEs vary greatly, but a rule of thumb is that you should get a PSU with at least 80% Efficiency and get one that is not too big (but not too small either) for your PC.