That's the main thing really, you can easily head elsewhere if you're having trouble in a particular area, in fact, you can skip the entire first main dungeon and come back later, it doesn't prevent you from exploring further areas.
My other recommendation, level up vigor, whatever else you're putting points into, vigor is always useful, more vigor = more hp.
Also, spirit summons, learn them, collect them, use them, love them, they're awesome tools, some can easily turn the tide in your favour, some can tank hardcore allowing you to do damage, some can even solo certain bosses. Find one that suits your play style and work with that, exploring dungeons gives you the materials needed to upgrade them after you've talked to a certain NPC.
Some minor spoilers for an early boss, otherwise a really helpful way to start and some of the basics of combat: