The best thing to do is get a pickaxe and go mining downwards until the music changes so then you know your underground. Then just mine a bunch of different ores that you find. Then get a furnace and craft a bunch of different bars from the ores that you found. Use iron or lead to make an anvil. On the anvil, craft more tools like iron lead or platinum pickaxes and swords. Keep on mining and get more pickaxes and weapons. Once you have fairly good tools and weapons, dig straight down until you reach the Underworld. You’ll find more stuff in the Underworld. When your underground, also look out for chests and gold chests. They contain a buncha cool stuff.

I forgot to mention to explore your world and l👀k out for different biomes and other stuff.