How to speed up game initialization?

Somehow I can’t find anyone commenting on this issue, so at the risk of asking an obvious question I just have to do it.

Whenever I go to play a build of my game, be it stand-alone or through Steam, it takes roughly 13-18 seconds to get past the Unity logo screen. It plays the “Made with Unity” animation and then just sits with a blue screen as it load the game. I assume it’s loading all the scenes/assets. I would like, at the very least, to have a way to implement a “Loading” screen so players at least know the game hasn’t frozen. One the game is running, everything’s fine. It load scenes in a snap. No problem. It just seems like it’s doing all the loading before the game even starts, and I want a way to load only what it initially needs and then put of a loading animation.

Does that make sense? Am I crazy, here?

Yes and that is essentially the answer. Unity loads everything for the first seen before displaying it. So the solution is to make the first seen small so you can control what the player has to look at quickly. Then load your big scene after that after you have presented the user with some loading text or something.