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State-space models (SSMs) are a rich class of dynamical models with a wide range of applications in economics, healthcare, computational biology, robotics, and more. Proper analysis, control, learning, and decision-making in dynamical systems modeled by SSMs depend on the accuracy of the inferred/learned model. Most of the existing inference techniques for SSMs are capable of dealing with very small systems, unable to be applied to most of the large-scale practical problems. Toward this, this article introduces a two-stage Bayesian optimization (BO) framework for scalable and efficient inference in SSMs. The proposed framework maps the original large parameter space to a reduced space, containing a small linear combination of the original space. This reduced space, which captures the most variability in the inference function (e.g., log likelihood or log a posteriori), is obtained by eigenvalue …