At first, when I arrived I was very nervous because I didn't know anyone, but then a girl started talking to me and I felt better.

at 在这里表示"在...时候"，指某个时间点。 first 的意思是"第一、最初"，表示时间顺序上的开始阶段。 at first 是一个固定短语，意思是"起初、一开始"，用来描述事情刚开始时的状态或情况。