There is a progression of which kingdoms open up based on your level. The map to how they open up is here:
Basically, you start in Broken Spire and then the map opens up based on your level and the kingdoms that you have unlocked.
In terms of which ones are best, I would say the main thing you’d want to focus on very early is unlocking kingdoms with the best questline troops (these are Epic-level troops that are added to your deck when you complete the kingdom quest). I would say that some of the best early ones to get are maybe Tyri (Zhul’Kari) and Rowanne (Forest of Thorns).
Overall, just focus on making steady progress: finish the kingdom quest to unlock the troop, work on challenges to get souls to level up your troops. If the difficulty gets too much, move on to something else and come back to the high-level challenges later when you have stronger troops.
The last thing I would say is to join a guild. For starters, find the best one that you can in the guild-finder. You want to find one with a large number of active players (check the guild roster to see how much people are playing this week to get a sense of this). There are hundreds of largely inactive guilds that are just sitting around and the game doesn’t give you an easy way to sort through them, so don’t be afraid to jump in and out of a bunch of guilds until you find one with some active players. Guilds are the best source of keys which will give you easy access to many more troops than you would otherwise get.
Good luck and always feel free to ask questions here!