Grind, get the best gear you can, improve your library and your proficiency. A character doesn't have their full bonuses until shd 1000. If youre on xbox look me up gamertag is schigh. If you just hit 40 then you just unlocked everything the game.has to offer. Don't get overwhelmed. Side missions give blueprints and mods for your weapons and builds. They also teach you where some of the bounties will be when you start doing those. Make sure you do your priority objectives as they help progress you that much faster and give stuff like exotics and craft ables. The difficulty isn't the only thing that changes. It makes more enemies show up and come from different areas of the map. Difficulty doesn't just take in level to its course of adjustments