// Define thread for loading textures and data.
public Thread LoadingThread { get; set; }

// Start loading on loading screen show.
private OnLoadingScreenShow()
{
    LoadingThread = new Thread(loadGame)
    {
        IsBackground = true,
        Priority = ThreadPriority.Highest
    };
    LoadingThread.Start();
}

// Load method called by thread.
private loadGame()
{
     // Loading textures...

     // Loading data...

}