Accessed in Appearance → Customize → General settings → Page preloader.
Page preloader works as a mask for the time while the layout of a page is not ready yet and it(page) is not useful.
It can be useful in some cases, but generally, it is rather an effect than a real feature.
You can set few things about preloader: background color & image, animation and when should preloader fade.
Attention
If you have faulty JavaScript on your page, from some external plugin for example, then your page may freeze on preloader screen.
So if you suspect such thing it is a good idea to deactivate it before debugging.