What building should I upgrade first?

I think the most efficient way to progress through the game is to upgrade all buildings equally. For example you would not want to have a level 1 farm and a level 5 barracks. All buildings should be roughly about the same level.

The most important building to upgrade is the City Hall as this dictates your City level, but in order to upgrade that building, usually you will have to make sure certain other buildings are also upgraded to certain levels first. Click each building to upgrade them and to find out if there are any prerequisites to upgrade.

If you have just recently started the game, our beginners guide may help: https://www.appgamer.com/rise-of-civilizations/strategy-guide/beginners-guide

It's important to build your wall up too so you are ready for attack.