Session Zero has already been said. It's my number one piece of advice.
However, after you've laid out what kind of campaign you wish to run the players need to make characters. For that, my advice is to insist the characters have connections to at least one other player. Otherwise you can end up with a PC who says, "why do i want to be with you guys" some time in a future session and then the player either quits or makes a new PC or retcons his PC's past.
The alternative is what happened a few days ago at the start of a new campaign where none of the players knew each other. The dwarf druid and elf ranger already had PCs and were working on how they had a connection while the other two players were finishing their characters, a human sorcerer and a human Battlemaster.
All the PCs were in a small logging town (Threshold from the D&D world of Mystara). None were citizens of the country. It was the equivalent of New Year's Eve in the year 999. There was lots of celebrating going on, even if the dwarf and elf didn't really care about the reason. The dwarf and elf players decided their characters had gotten drunk and decided to sabotage the logging operation (save the forest!) and the other players heard this and decided they had drunkenly intervened. The constabulary decided to throw everyone in jail. The magistrate, seeing as how all the PCs were foreigners, abused his authority and ordered the hung over PCs to clear out the conveniently located dungeon nearby.
As a DM, I couldn't have been happier to see the PCs engaging with the world and each other before we even started.