The splash screen would start when win.exe (or was it win.com? I forget now) started. So you'd catch a glimpse of DOS before the splash. This was back in the 9x era though. Back in the days of 3.x I think it was still pretty common to boot to DOS and then start Windows manually.
Yes in dos/win3.1 you might have win.exe at the end of autoexec.bat, you might have dosshell in there. You might have some Novell "login.exe" instead. Or maybe it was good old command.com.
Win95 had a full screen splash which was an RLE file called logo.sys, loaded by the win95 boot process. I don't think autoexec even ran under 95/98/me. I'm sure that Wikipedia will have the full history though.
Autoexec did run on Win95. I remember spending hours tweaking it back in those days. Though I think it was mainly used for DOS programs and maybe some environmental variables (eg for JAVA).
I remember writing my own logo.sys boot splashes. If I recall correctly they were just bitmaps with a couple of values altered in a hex editor to define which sequence of colours (in the colour palette) to animate.