To initiate the Linksys Velop setup, first, download and install the Linksys app, available on both iOS and Android platforms. Search for "Linksys" in your device's app store, then download and install the app. Once installed, open the app and follow the on-screen prompts to begin the setup process for your Velop system. The app provides step-by-step guidance for configuring your network, ensuring a smooth and hassle-free setup experience.