CPUs can't do anything without being told what to do, which leaves the obvious problem of how do you tell a CPU to do something in the first place. On many CPUs this is handled in the form of a reset vector
- an address the CPU is hardcoded to start reading instructions from when power is applied. The address the reset vector points to will typically be some form of ROM or flash that can be read by the CPU even if no other hardware has been configured yet. This allows the system vendor to ship code that will be executed immediately after poweron, configuring the rest of the hardware and eventually getting the system into a state where it can run user-supplied code.
The specific nature of the reset vector on x86 systems has varied over time, but it's effectively always been 16 bytes below the top of the address space - so, 0xffff0 on the 20-bit 8086, 0xfffff0 on the 24-bit 80286, and 0xfffffff0 on the 32-bit 80386. Convention on x86 systems is to have RAM starting at address 0, so the top of address space could be used to house the reset vector with as low a probability of conflicting with RAM as possible.
The most notable thing about x86 here, though, is that when it starts running code from the reset vector, it's still in real mode. x86 real mode is a holdover from a much earlier era of computing. Rather than addresses being absolute (ie, if you refer to a 32-bit address, you store the entire address in a 32-bit or larger register), they are 16-bit offsets that are added to the value stored in a "segment register". Different segment registers existed for code, data, and stack, so a 16-bit address could refer to different actual addresses depending on how it was being interpreted - jumping to a 16 bit address would result in that address being added to the code segment register, while reading from a 16 bit address would result in that address being added to the data segment register, and so on. This is all in order to retain compatibility with older chips, to the extent that even 64-bit x86 starts in real mode with segments and everything (and, also, still starts executing at 0xfffffff0 rather than 0xfffffffffffffff0 - 64-bit mode doesn't support real mode, so there's no way to express a 64-bit physical address using the segment registers, so we still start just below 4GB even though we have massively more address space available).
Anyway. Everyone knows all this. For modern UEFI systems, the firmware that's launched from the reset vector then reprograms the CPU into a sensible mode (ie, one without all this segmentation bullshit), does things like configure the memory controller so you can actually access RAM (a process which involves using CPU cache as RAM, because programming a memory controller is sufficiently hard that you need to store more state than you can fit in registers alone, which means you need RAM, but you don't have RAM until the memory controller is working, but thankfully the CPU comes with several megabytes of RAM on its own in the form of cache, so phew). It's kind of ugly, but that's a consequence of a bunch of well-understood legacy decisions.
Except. This is not how modern Intel x86 boots. It's far stranger than that. Oh, yes, this is what it looks
like is happening, but there's a bunch of stuff going on behind the scenes. Let's talk about boot security. The idea of any form of verified boot (such as UEFI Secure Boot) is that a signature on the next component of the boot chain is validated before that component is executed. But what verifies the first component in the boot chain? You can't simply ask the BIOS to verify itself - if an attacker can replace the BIOS, they can replace it with one that simply lies about having done so. Intel's solution to this is called Boot Guard.
But before we get to Boot Guard, we need to ensure the CPU is running in as bug-free a state as possible. So, when the CPU starts up, it examines the system flash and looks for a header that points at CPU microcode updates. Intel CPUs ship with built-in microcode, but it's frequently old and buggy and it's up to the system firmware to include a copy that's new enough that it's actually expected to work reliably. The microcode image is pulled out of flash, a signature is verified, and the new microcode starts running. This is true in both the Boot Guard and the non-Boot Guard scenarios. But for Boot Guard, before jumping to the reset vector, the microcode on the CPU reads an Authenticated Code Module (ACM) out of flash and verifies its signature against a hardcoded Intel key. If that checks out, it starts executing the ACM. Now, bear in mind that the CPU can't just verify the ACM and then execute it directly from flash - if it did, the flash could detect this, hand over a legitimate ACM for the verification, and then feed the CPU different instructions when it reads them again to execute them (a Time of Check vs Time of Use, or TOCTOU, vulnerability). So the ACM has to be copied onto the CPU before it's verified and executed, which means we need RAM, which means the CPU already needs to know how to configure its cache to be used as RAM.
Anyway. We now have an ACM loaded and verified, and it can safely be executed. The ACM does various things, but the most important from the Boot Guard perspective is that it reads a set of write-once fuses in the motherboard chipset that represent the SHA256 of a public key. It then reads the initial block of the firmware (the Initial Boot Block, or IBB) into RAM (or, well, cache, as previously described) and parses it. There's a block that contains a public key - it hashes that key and verifies that it matches the SHA256 from the fuses. It then uses that key to validate a signature on the IBB. If it all checks out, it executes the IBB and everything starts looking like the nice simple model we had before.
Except, well, doesn't this seem like an awfully complicated bunch of code to implement in real mode? And yes, doing all of this modern crypto with only 16-bit registers does
sound like a pain. So, it doesn't. All of this is happening in a perfectly sensible 32 bit mode, and the CPU actually switches back to the awful segmented configuration afterwards so it's still compatible with an 80386 from 1986. The "good" news is that at least firmware can detect that the CPU has already configured the cache as RAM and can skip doing that itself.
I'm skipping over some steps here - the ACM actually does other stuff around measuring the firmware into the TPM and doing various bits of TXT setup for people who want DRTM in their lives, but the short version is that the CPU bootstraps itself into a state where it works like a modern CPU and then deliberately turns a bunch of the sensible functionality off again before it starts executing firmware. I'm also missing out the fact that this entire process only kicks off after the Management Engine says it can, which means we're waiting for an entirely independent x86 to boot an entire OS before our CPU even starts pretending to execute the system firmware.
Of course, as mentioned before, on modern systems the firmware will then reprogram the CPU into something actually sensible so OS developers no longer need to care about this, which means we've bounced between multiple states for no reason other than the possibility that someone wants to run legacy BIOS and then boot DOS on a CPU with like 5 orders of magnitude more transistors than the 8086.
tl;dr why can't my x86 wake up with the
protected mode already inside it
 Ha uh except that on ACPI resume we're going to skip most of the firmware setup code so we still need to handle the CPU being in fucking 16-bit mode because suspend/resume is basically an extremely long reboot cycle
 Oh yeah also you probably have multiple cores on your CPU and well bad news about the state most of the cores are in when the OS boots because the firmware never started them up so they're going to come up in 16-bit real mode even if your boot CPU is already in 64-bit protected mode, unless you were using TXT in which case you have a different sort of nightmare that if we're going to try to map it onto real world nightmare concepts is one that involves a lot of teeth. Or, well, that used to be the case, but ACPI 6.4 (released in 2021) provides a mechanism for the OS to ask the firmware to wake the CPU up for it so this is invisible to the OS, but you're still relying on the firmware to actually do the heavy lifting here