There is some interesting and useful discussion that is kind of “lost” in another thread, so I thought it would be useful to start a thread just for starting the P & P. There are several different ideas on when and how.
I have worked with Alfredo Hernandez quite a bit over the years, and he prefers to start it IN HAND with a young horse. The horse must be comfortable in the connection - but does not have to be working collection under saddle. He likes to get them at 4.5 to 5 years old, as long as they have a good foundation on them. Initial work is in-hand, a 5 year old is NOT strong enough to do this work under saddle yet. At first, it is just teaching the horse to respect the aids, with leg yield in hand. Once that is established, the horse is taught to step with its hind legs, without too much forward motion, basically half-steps in hand. Then the horse is asked to start to sit. The progression may take many sessions, or a single session - each horse progresses differently.
Under saddle, it is pretty common to start the half steps somewhere between 5 and 7, when the horse is starting to play with collection as well. Kind of depends on the individual horse - their comfort in compression, the quality of the walk, and of course the individual rider as well.
Here is my mare at 5 with her first time doing any of this work in hand. This is over 2 days, and the sessions are about 30 minutes long with LOTS of walk breaks. I had done a little bit of leg yield in hand with her, so that helped set a foundation on her comfort with the work. She is a good example because she’s a “normal” horse - not super fancy, and she’s ridden by a normal AA rider.
https://www.youtube.com/watch?v=2NB_KTQMHMU
https://www.youtube.com/watch?v=IRZgiUoyU3E
Some people prefer to wait until the horse is strong enough to reliably collect under saddle before starting this kind of work. I don’t think either time line is the “only way”, this is just how I’ve learned.