Starting with a (sort of) fight is how I like to do it.
If players are new to my style of DMing, or new to D&D in general, I like to start them out with a scenario in which they are a posse on the trail of a band of goblins that have kidnapped a local. There's a little bit of tracking and decision making, a bunch of options and then into the encounter.
Most groups that I've done this with have gotten TPK'd or close to it, (only one in 20 years since I started doing this actually beat the encounter without heavy losses or complete TPK), even though it's generally scaled to them.
After the shock of being killed in the first five minutes of the game wears off, I reveal that the whole thing was a training exercise and the 'goblins' are merely militia. It's not a cheat where as DM I have 'saved' the team, as this is always the intent even if they win, but it does outline how fragile characters can be, even strong ones. I have found that players are often appreciative of how fickle the dice are and tend to approach combat with a little more caution after that.
Obviously, once I've done this trick it doesn't work again with players who know.
After that training scenario, as well as for new campaigns where players are used to my style and familiar, I will generally either start them already on the path of a quick adventure to get them going, and from there let them take full agency... or have a ton of scenarios ready to roll and give out rumours to each player separately then let them debate the merits and potential rewards of each.