Here's a sort of checklist I made a long time ago for what chapter one needs to do.
Introduce the protagonist. This includes:
Their status: Their role in society; profession, approximate age, etc.
Their personality: Perhaps the most important part.
Their relationships: No one exists in a vacuum. They should have some relatives, friends, acquaintances, rivals, and/or enemies.
Introduce the setting. If it's the real world all you need to do for this is make that clear. If not, you must introduce your world:
Physically: Is it basically set on Earth, just not the real Earth? Is it a flat world with no apparent end, the surface covered with ocean and a few massive pillars of land that people live on (like one I've created)?
Culturally: Do the people have significant difference in values from those in this world, or any exotic customs? Religion? Government?
Its rules: Reveal the technology level, and any magic system, as early as possible so we know what is and isn't possible in this world. This is probably the worst area to mess up in. Although some of this responsibility can be relegated to chapter 2 or maybe even 3, you should start in chapter 1. Also, if the POV character doesn't know how the magic works, then of course the audience doesn't need to know yet.
Introduce the plot. It doesn't have to start it directly, but it should at least include a plot hook that shows how it's going to get started.