Level up to cap(40), gather gear, learn by playing what style you enjoy, then farm gear that makes your playstyle better.
You said you bought the expansion, so that means you have the full game, which makes the following questions easier to ask:
1) What type of gameplay are you interested in? Story? Grouping? End-game only power grind? Solo challenges?
2) Do you care about seeing the whole story, or do you just want to reach end-game and enjoy the gameplay?
3) Do you want to be more of a "wizard" who relies on their skills and abilities, or do you want to be a shooter that relies more on personal player skill at FPS games?
Regardless of those answers, you should probably try your best to reach level 40, defeat the final boss of the story and unlock your SHD watch and season rewards((end-game progression).
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