The peripheral always listens for a short interval on the same advertising channel after it sends out the advertising packet. This allows it to receive the connection request packet from the central device --- which triggers the forming of the connection between the two devices.
After this occurs, the connection is considered created, but not yet established. A connection is considered established once the device receives a packet from its peer device. After a connection becomes established, the central becomes known as master, and the peripheral becomes known as the slave. The master is responsible for managing the connection, controlling the connection parameters, and the timing of the different events within a connetion.