Pssdiag is a data collection utility that Microsoft gives to us to collect useful data and log files for SQL Server installations.
Before, start the steps you need to follow to configure all the mandatory parameters you should first download the utility latest version.
Download pssdiag latest version from here

Let’s create your first pssdiag package.

Step 1 :

On the below image you can see the basic settings which are Database Server Informations.

Step 2 :

On the second step, you’re ready to select one of the suggested scenarios.

 

Step 3 :

On the third step, you are able at position to select various performance counters, traces, diagnostics, Xevents etc.

 

Step 4 :

On the last step open the tab [Misc], and set the default  Output Folder, press Save to save your pssdiag package.

Now, you’re ready to move this package to the database server that you want to capture data.
After unzipping the data, you must run pssdiag.cmd.

Final, visualize your trace logs using SQL Nexus utility. You can see how it works from this post.