I have burning sensation in my big toe just below the nail. Why is it so and what should I do. Thank you?

You should see. A foot doctor. An x- ray may be in order possibilities include: an ingrown toenail, a fungal toenail, a spur of bone under the nail called a sub unfurl exostosis.
You may have. Nail infection or you may have irritated a nerve. See a podiatrist.