Try pulling up the Guide (hit the center button on your controller).
If the guide comes up, then it is a problem with the game, and you should report it along with any details such as map, factions, and your last commands.
If the Guide pops up, then it may still be a problem with the game, but your Xbox is frozen and needs to be restarted. Check to make sure your Xbox has not overheated or has red rings. If you can't find a problem with your Xbox, you should probably report the problem.
A Halo Wars Story: Once upon a time, there was a light bridge. On that light bridge, there were many covenant. When the UNSC turned the bridge off, the covenant fell. The End.