I am in my first year of my PhD, I have secured fund for my PhD for experimental work and simulation. and the fund I secured was 42900 pound from my own government. as I understand this fund should be use for my project and spend on me to do the relevant training. at the beginning I start learning programming by myself and i have no help and i did struggle so much and my supervisor did not care so much at all. he did not even allow me to use my fund to go for course that can help me. Recently I discovered that my supervisor is using my fund for other students from the same his nationality and supporting them from my fund. when I confronted him about the use of my research fund he stated that I have the right to use your fund and I can, because I am your supervisor and I know how the fund should be spent.
Is that true that your PhD supervisor have the right to use your research fund even though I am the one got this fund from my government and he did not helped me at all? if not, what are the legal action I can take against him ?

He should not do this. The best is to contact your government and they should deal with it. It does not look like a good start anyway. Change supervisor is a good option especially your government pays then who has the money has the power.

Depends on the details of the funding. The money should be spent on your research but usually the the money is at your supervisor's discretion with minimal way to appeal. As eng77 said, talk with your government about the details and can you change supervisor.