How to start slideshow
To be clearer - if you actually open all the relevant images in the Preview app, the slideshow option inside the Preview app will work.

If instead you highlight the files in Mac OS Finder, and then click Option+Spacebar, you will Quick Look these inside Finder, which will include a slideshow option as well - this is the far faster approach in most cases.

Here are two screengrabs of the Quick Look function in Finder: one showing per-image-view, the other a grid view. 

Notice that in both cases I have all the files highlighted in Mac OS Finder, and then click the Quick View keyboard shortcut:




As you can see in the screengrab, if I want to, I then have the option to open any one of these images in the Preview app, should I want to adjust colour curves, print, annotate or other such tasks.