You won't notice a lot of physical changes the first few months, but it ends up all adding up.
You might start to notice your skin is getting a lot softer, and you might feel breast tenderness. Mental changes also happen pretty quickly, usually during the first month or first few weeks. Obviously this might vary a lot, but those are the 3 things I really noticed for a while at first, the rest (such as growth of body hair nearly stopping completely, fat redistribution, jaw smoothing out, etc) took a bit longer to happen.