These are some things I've learned while playing Endurance for the first couple of times. This is a good idea do to before you start your quest outward. This applies to online and offline.
1. At the very beginning, mine wood. You can't get wood underground, so you'll want to get that before you do anything else. 15-20 blocks of it should do.
2a. After getting the wood, enter a cave and begin mining minerals. Mostly coal and iron.
2b. Or you can mine straight down so you'll be able to reach better minerals (gold, diamond, more iron and coal) faster.
3. Make your iron pickaxe. You'll need it to mine gold and diamond.
4a. Mine enough gold to make 3 bars.
4b. Mine 3 diamond.
5. Make diamond pickaxe.
6. Mine 10 bloodstone with diamond pickaxe. You can find these at ALMOST the bottom. not in hell, but just before it.
7. Make bloodstone knife.
You're pretty much good to go at this point. Do whatever else you feel is necessary, but with that bloodstone knife, you could even survive out in the open at night as long as you're aware of your surroundings.