Hi @cineraphael
I would suggest you start a support request by completing the information requested in https://retropie.org.uk/forum/topic/3/read-this-first as you will be requested for this information anyway.
If you are overclocking your Pi, you need to let us know what you are doing. Maybe start by uploading your /boot/config.txt to pastebin. Also, how are you cooling your Pi?