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There's nothing wrong with your new phone if it overheats on day one
A design decision.
Your network is running full tilt, the phone is copying files nonstop, and system data is written in large bunches. If you pick it up while it is doing all this and mess with wallpapers, widgets, and icons, or even worse — try to play a game or browse the web — it's too much for the phone's processor to handle. If there continue to be thermal problems, the device could be faulty, or the company that made it will need to provide a software patch, but heating up on day one is, unfortunately, normal unless you use one with a fan built into it.
Or read this on Android Central