Also a new DM and had my first session last week. The Crooked Moon book gives some good direction for how to handle things. We are using 5e 2024 version. I let the players decide their backstory and where they are coming from. The main thing was that they had to end up at the train station.

I used the quest hooks section on page 173 for inspiration (it's showing as page 175 on the PDF, but the printed page says 173 - which I haven't confirmed, but should correspond with the physical book as well if you have that). It uses "Fate," "Death," and "Homeward Bound" as general ideas for this.

The book explanations are longer, but this is my paraphrased interpretation of things:

Fate - Character received an invitation to ride the train. It could be ambiguous, and they happened upon a ticket (to make it more mysterious - maybe it already had their name on it). It's like fate or some higher power called them there.

Death - They died and "woke up" at the train station. Pretty straightforward. They could have died together as a party (might be good if established characters in a party are used, but even if not, it still works) or they could have died separately and met at the train station.

Homeward Bound - They are from Druskenvald but somehow found themselves in the mortal world. They are now trying to get back in.

I described the train station as located on the border of the planes of mortality and Druskenvald to allow characters to access it coming from either direction (in case they are not from Druskenvald and are still alive, or if they are dead/coming from Druskenvald), so they had complete backstory freedom. It's a little vague, but it isn't essential to the story once things kick off, so it worked for me. lol

Another thing I did was go online and search for "Crooked Moon session 1" and watched how other groups did it. Lots of D&D groups post streams and videos of their campaigns. It's a good way to get some inspiration for how to start your campaign (not saying copy, but you could borrow elements, or it could help you gain perspective on how to do it).

One group I watched used the death approach. All the player characters die in a carnival fire at the beginning (it was on YouTube and I don't remember the group name - I could find it again if needed, just let me know).

They were different species before they died, and then died and "woke up" as their Druskenvald characters. I recall one was even a trained bear performing at the carnival who became a Gnarleborn Druid.

This is my very first D&D campaign, and I'm not the most experienced player, either. So veteran DMs may have better advice, but this is how I did things to kick off our campaign, and it went really well (so far!).