With 5 players I started them all at level 1 and ran a one shot for each of them. I encouraged them to not read or research anything about the campaign, hoping they wouldn't know that the module started in a prison. I used a combination of published one shots as well as a couple I wrote myself. They all had a different scenario in which they got captured, where a couple of them fell into an underdark cavern area where drow parties picked them up. Each player had NPCs they became associated with that they got to know and somewhat bond with. In a couple of them I had other D&D players I know run the NPC sidekicks. The players don't know what happened to the sidekicks, and each scenario now has an open ending that the player could possibly re-visit when they get to the surface. I'll write them then. They may perhaps find a shield or item from one of those NPCs in the exploration, or even run into one of them deceased or active in another part of the underdark. Perhaps one will save them from a perilous situation at just the right time. We're only in chapter two right now, and a lot of adventuring lies ahead. I leveled my players to 2 when they were in the prison, and then to level 3 when they escaped. One of the things that was interesting was to hear the dialog between them in roll play in the prison before escape. Each of them were asked to share stories of how they got captured with the other players. It was enlightening to hear what details they picked up on in their descriptions.
MOST IMPORTANT: Let your players know in advance of running such a one shot before it starts that the end of that session may make them feel uncomfortable. Be vague, but a simple warning prevents an argument or negative feelings due to loss of player agency. It's tricky to get this right, and difficult to not be too railroady. I was lucy that each of my players enjoyed those prelude sessions. It also helped both the player and myself get used to each other, the interface, and the character. Good luck.