From: The Imperial Palace.
I had a similar reaction the first time I played. The answer is: don't let the game play itself. Take manual control of everything, put the game on pause, and make all your own decisions. I didn't start enjoying the game until I did that. Once you've done that, you have a series of interesting decisions before you. These include:
(1) Which new colony to establish first. Rather than just clicking "yes" to a series of suggestions, decide for yourself which colony locations look most promising, which have best resources, which are best placed strategically, etc. (2) Where to send your exploration ships. (3) Which strategic resources or fuel resources to mine. Check to see the items that might be low in stock: steel, caslon, hydrogen, polymer, and gold often seem to trouble me. (4) Which (if any) new ships to build. (5) What to research. If you're near a marshy planet with rich resources, maybe marsh-colonization should be a research priority. (6) Where/whether to build resort bases or research stations. (7) How to handle pirates -- diplomatically or militarily? How to deal with your first diplomatic partner. (In Legends, this decision becomes more interesting, as you have to decide whether to send your first Ambassador there, when you may be uncertain of your Ambassador's diplomatic skills.)
I know some say to leave all but one thing on auto, and learn about that one thing. For me, as a WITP/AE fan, I found it more satisfying to jump in the deep end. I suspect you might prefer the latter approach too.