Not all items are unlocked at the start of the game. Certain items must be unlocked by completing undisclosed milestones, such as shooting the Mega Buster or dying a specific number of times. While these are meant to be earned over time through natural play, Mega Man 11 is a relatively short game akin to its predecessors, so it’s entirely possible to reach the end without having half of the cool stuff available to Mega Man.
If you prefer to load up on parts and items first, however, you can do this quite easily. First, see the “Screw Hunting” section, then check the unlock requirements on the various parts. Aside from the items that require you to Defeat Dr. Wily, these can all be unlocked and purchased before you defeat the first Robot Master.