Some amps have a "soft on" circuit which will prevent this, yet some don't.
High gain settings can cause this, as-well as current bleed from other sources when you first turn the key or add power to the system.
If your amp has a soft on, no other signal or current bleed is present and no ground issues, the gain setting would pretty much have to be it. Unless the circuit in the amp is bad.
At any rate, a start-up thump isn't going to hurt anything, think of it as a test feature that tells you all is working when you start your truck.
EDIT:: Just thought, if you have the amp's remote on wire hooked to power at all times -or- power with switch, it can also cause this. Remote On wires should always be hooked to the head unit's remote lead.