Here's a quick suggestion inspired by the Final Fantasy videogames.
Start your players in an "adventurer's guild" type organization/training hall. Here they can try out their abilties (mock combats/thief and assasin skills against fake locks/tracking on the grounds/magical puzzles/etc.) in relative safety (make any damage non-lethal). Give them a mentor or two that supervises them in the training hall (and can be trainers for when they go up a level), perhaps setting certain tasks for them to complete inside the training hall or in the immediate area (once they get some familiarity with the system).
This not only gives them some room to breathe before it gets dangerous and helps ease new players into the game...but, if you give the guild a cool name and make the trainers viable for the PC's, the organization beccomes an immediate and reoccuring connection and investment in your campaign world for the players to be a part of.