How should an Indian MS Finance student at Boston University build US work experience practically before OPT becomes relevant?

The goal is to have something US-based on your resume before you start recruiting in earnest. The method is the same one used by students at other US schools: apply to medium and smaller firms in Boston, asset managers, hedge fund operations teams, boutique advisory firms, fintech companies, before you arrive, and propose going in to contribute informally and learn while you are enrolled. Not being paid is not a legal barrier as long as you are in a learning capacity rather than an employee relationship, and you are on a student visa.

• Smaller firms are better targets for this than large ones: at a smaller firm you are visible, you sit in real meetings, and your name becomes known.
• At a large firm, an informal presence goes unnoticed.
• Three months of consistent presence at a Boston-area firm, going in two or three days a week, doing real analytical work, and building the relationship, typically results in either a paid arrangement or a strong reference.
• That reference and the US-based experience on the CV changes the framing of every subsequent application: you are no longer an international student with only Indian experience, you are someone who has already demonstrated value in a US professional environment.