In one embodiment, an apparatus includes: a plurality of cores to execute instructions; a firmware agent to execute a first firmware; a Peripheral Component Interconnect Express (PCIe) interface to communicate with a device via a PCIe link; and a boot agent coupled to the PCIe interface to download the PCIe firmware from a non-volatile memory and provide the PCIe firmware to the PCIe interface. The PCIe interface may receive a PCIe firmware for the PCIe interface before the firmware agent is to receive the first firmware. Other embodiments are described and claimed.