Yes, there is a way. You need to start a custom game instead of a quick game. The option is called starting era I believe. I'm not sure though because I don't usually do it, I like playing through all the eras. I've occasionally used a mod that adds more options to the menu to do stuff like start out in the industrial era in 4000bc, but I really don't use it much.
If I start on a higher era I feel like I've been "cheated" out of progress. I can get lots of big developed cities full of wonders if I start out from the beginning.