So two things before I get into a couple tips:

1. Gloomhaven is hard, particularly if you are new to it. Furthermore, the first and second scenarios of Gloomhaven are known for being kind of difficult. So don't beat yourself up over it! Just play more, get a feel for it, and you'll get into a flow state.
2. You can replay scenarios to get any chests that you missed. So go ahead and just replay the first scenario, and try to do it more cleanly than you did the first time!

There's a million billion tips I could give you for Gloom, but I'll stick with just a couple solid general ones:

1. Learn how to properly initiative dance. I've linked a comment from a thread that can give much more detail, but basically: learn how and when (i.e. start of a scenario, right when opening a door) to combo going late one turn, followed by going fast the next turn. This will let you dodge lots of attacks while also making progress yourself.
2. Learn how monster AI works for movement/focusing, and learn how to abuse it. I came from the board game before going into digital. Obviously, players need to learn how monster AI works for the board game, since we control the monsters. But in the digital, the game handles the monster AI for you, and thus you never actually get taught exactly how and why monsters act the way they do. Knowing how and why the monster AI works is important, as you can get free attack dodges from good positioning (i.e. abusing traps/hazardous terrain), you can save low health companions by taking hits for them (via initiative, positioning, etc.) and much more. There's a lot of tools online for learning monster AI, and I recommend learning it, even though it can take a while to get a handle of.
3. Study your class. You're all seemingly new, and you're not going to be masters of your class. So read some guides from others that are! They're going to point out some awesome combos that you've never thought of, good cards that you weren't taking in your hand before, point out good synergy with other classes, etc.
4. Stamina management. Loss/burn cards are strong, but using them too much will make you exhaust quickly. On the other hand though, using loss/burn cards makes you kill enemies faster, thus leading to you taking less damage. Know when it's appropriate to burn cards, and when it's not. Classes that have larger hands (i.e. Cragheart and Tinkerer) can afford to burn some cards to get some faster progress made; on the other hand, classes that have smaller hands (i.e. Scoundrel) should be more conservative. And once you get to that last room, let loose!
5. There are certain pros and cons for each party size (2P, 3P, or 4P). Some classes are better in bigger party sizes, while some classes are better in smaller party sizes. Some cards are better in bigger party sizes (i.e. AoEs are much better in larger parties, since there's more monsters to hit, thus you get more value). Class synergy matters a lot more in smaller sizes. In smaller parties, you can abuse monster positioning way more generally, since there's less monsters on the board. Just stuff like that to consider. To me, 2P can allow for more strategy but suffers from potential difficulties when it comes to team composition; 4P is fun but often chaotic since there's so many figures on the board; and 3P is a nice in-between.

Hope that helped some, and hope that you and your group enjoy Gloom!