I was having the EXACT same issue... did the walk trew 3 times. in the middle of the 3rd time i was reading others comments on here so i pulled my internet cord... NO FREEZING! so it has to have something to do with the account linking. I linked mine as soon as i set it up!
Quick update, disabling internet works. Game is a lot of fun, my 9 year old and I have been playing the Lone Ranger playset for a while now.
I cant wait to see what folks come up within the toybox when the acct linking issue fixed.
My game will only load with the internet disabled. I can play as long as I have the internet disabled or on accout that is not signed into PSN. The game goes to the screen with "IN" and the rotating blue blocks arount it and stay like it is loading forever(well the longest i let it go was 45 min). as soon as i diconnect Internet its fine.