Weddings and setting up a home are two different things.
Setting up a home can also be done on a budget. You can budget your linens and buy on sale. I bought linens for my “daughter” an amazing your woman who I have mentored for 8 years, on-line for a fraction of the price I would have spent in a local store. I also found her furniture that others were giving away. We didn’t spend anything on furniture except for a leather couch that my husband paid for. Her parents paid for her mattresses. As far as other things, we collected things on sale and used coupons. He parents and friends helped shop for her and she was careful not to go overboard. And no, when you first get married you don’t need vochadik and Shabbos dishes. You can make do for a long while. There are a lot of things you can buy of quality on the cheap if you put an effort into it. Furthermore when you are on a budget you have a real awakening as to what you really need versus what you would like to have.
If your parents are not in a position to take you on a spending spree, then don’t fret. It can be done.