DontDestroyOnLoad alternative?

You could create an empty startup scene (that loads up for like 0.1 seconds when the game starts and then loads the other scenes, like the main menu for instance) with your player in it and the DontDestroyOnLoad command (and also all the other things you want to keep between loads but not instantiate multiple copies upon load).

This way you'll never have to place your player entity gameobject in any of your scenes other than that startup scene. The player never gets destroyed by anyone, just teleport him to the new location.

You could do as raphu604 has said and create an initialisation scene where all persistent objects are created and set to DontDestroyOnLoad or as an alternative, you could create a singleton object to check if your player already exists before creating another like so:

 using UnityEngine;
 using System.Collections;
 
 public class Singleton : MonoBehaviour {
 
     //The prefab for your player to be set in the inspector.
     public GameObject playerPrefab;
 
     // Use this for initialization
     void Start () {
 
         //if we don't find a player object in the scene already...
         if (!GameObject.FindGameObjectWithTag("YOUR_PLAYER_TAG"))
         {
             //Then instantiate one at a spawn position that you set...
             Instantiate(playerPrefab, YOUR_LEVEL_SPAWN_POSITION, Quaternion.identity);
         }
 
         //Otherwise, destroy this gameobject.
         else Destroy(gameObject);
     
     }    
 }

Simply attach that script to an empty GameObject in your scene, set your playerPrefab, player tag and spawn position and you will only get 1 player object in each scene.