Setting up an iPhone always gets devices incredibly hot. They're setting up with your carrier, discharging the battery for the first time, downloading iCloud data, and potentially restoring from a backup.
As sais above the phone is setting up for the first time, downloading from iCloud or restoring from a backup. I recommend when you stop the setup process leave it alone and don't touch it so it cools down, if after an hour or two the phone is still hot or becomes hot for no apparent reason then you should report back and send it to Apple for an exchange.
Ok thank you everyone I was getting worried. Will let it alone for a while now that I’m finished setting it up and see what happens. As to the brightness I’ve always used it at max, personal preference, I like the bright and vibrant colors and contrast that way.