I think what did it for me was episode 3, "About a Girl". Up to that point I was enjoying the show, but the third episode was the first one that you're really supposed to take seriously as an audience. I think this quote from the episode's director Brannon Braga is informative:
There was an episode that was supposed to be a later episode. I’ll call “About a Girl” which was about a transgender metaphor using our Moclan characters. [...] It’s a very dramatic episode. And we decided to pull it up in the air date order to the third episode because we had to know, “Is the audience going to embrace what this show really is?” And they did.
The episode isn't perfect and MacFarlane has even said he would do it differently if given the opportunity to write the episode again, but the show was leaving nothing on the table, taking a huge swing for this early in a series. I had been really missing sci-fi with a social conscience in the last decade or so before The Orville began, and this episode specifically felt like coming home after a long time.