However, you can create a wallet or buy bitcoin from other places that don't require KYC. Also, I'd like to advice that you make prior research so you don't fall into the wrong hands. Welcome to the blockchain technology!!
There are still a lot of exchange that doesn't require KYC, but with a certain restrictions on your transactions like deposit and withdrawal limit. If you want to increase your limit, then that would be the perfect time to comply with the KYC.
Centralized exchange may contradicts the idea of Bitcoin privacy, but I guess that's better than using an unsecured decentralized exchange and risk your funds of possibly lossing everything.
Different opinions and suggestions is expected here because the OP didn't specified the exchange he was using. If only the OP will provide the specific website, then I'm sure he'll be able to get good output.