Death can come at any time in Dead Cells, especially early on. A superb run can be derailed by something as simple as a feisty elite enemy that you probably shouldn't have engaged. Experience and familiarity are crucial parts of the learning curve that make each attempt a little less intimidating than the last.
However, new players will most likely find themselves both overwhelmed and lost. Dead Cells teases progression early on with a lot of walled-off areas that you can look at but you can't access. It's important to know where each run can lead you, as this procedurally-generated labyrinth always has the same general structure. At least you can plan out the route that best suits you.
This flowchart is a tremendous resource in that sense. It tells you which levels connect to which other levels, and if you'll need certain abilities to get there. The whole game really opens up once you understand how to get around rather than just slipping out the first exit you see.
Now you just have to figure out how to, you know, stay alive.
Biomes [Dead Cells Wiki]