On a femtosecond timescale, we observe how Coulomb screening and collective scattering build up in an extreme nonequilibrium electron–hole plasma photoinjected in GaAs. To this end, we generate a plasma within 10 fs and probe the subsequent polarization response of the system with uncertainty-limited temporal resolution via ultrabroadband THz spectroscopy. We show that the intrinsic material becomes conductive instantaneously upon carrier injection, whereas collective effects such as Coulomb screening and plasmon scattering exhibit a delayed onset. Thus, the ultrafast formation of dressed quasiparticles is directly monitored for the first time. The timescale for these phenomena is of the order of the inverse plasma frequency. Our findings support recent quantum kinetic simulations.