To start an online co-op session from the start of the game, both players must load up empty profile save slots. Once in a save slot, hit the “play” button and you’ll be directed to a screen for 1 player or 2 players. There will be a prompt at the top left for an online session.
After you've completed enough of the introduction, you will receive a notice about unlocking the Space Phone in the city. If you’re playing on a progressed save slot, that is where you can connect to one another, send invites, or look for anyone else playing mostly within your region.