The second wind is a phenomenon where after a period of exercise, things start to get easier. Less pain, more energy, easier breathing.
But we have no idea why...
There's a heap of theories like:
But no real clear evidence.
Some research suggests your second wind is the diaphragm (our most important breathing muscle) being warmed up.
Whether it'll help you start with your second wind or not, specific breathing techniques before exercise can:
This video gives a good rundown of a technique called hyperventilation that you can use before training, competition or even starting your day.