First Time Player Build
 Zealot Build - Warhammer 40k: Darktide 

For your first game you will have an axe and a shredder pistol.

You should hit level 2 after beating your first mission. Swap out the axe as your first priority for a Devil's Claw Sword, change the mark to IV for a simple moveset, light attack spam for hordes, heavy attacks for tougher stuff. The special attack for this weapon is a counter that negates damage to you and deals damage to the attacker, get practicing with it and it will help you deal with Ragers.

Shredder pistol is okay for specialists that will try to incapacitate you, such as the trapper. Dogs can be pushed with your melee weapon when they try to jump at you.

Follow the skill tree I have made, prioritise moving down the tree over any side nodes. We don't really care about the stat split on the weapons, we just want to consecrate them to add blessings whilst earning mastery progress. You should only consecrate after hitting level 30 where you will get better stat dropping weapons.

Remember to use your Ability Fury of the Faithful to regain toughness if you fall under 50%. 
Grenades, whether you use Stunstorm Grenade or Immolation Grenade should be used sparingly and for the following - saving someone who has gone down, to help with an objective or you are about to be overwhelmed & downed yourself.

At level 8 you will unlock a curio slot. Toughness blessing is preferred but most importantly we want to consecrate it & then refine it so you get a 10% experience bonus. When you unlock your next curio at 16 do the same again this will help you reach level 30 that much faster.

As you progress difficulties you will see a bar increase on the map terminal showing how close you are to unlocking the next difficulty. Eventually you will run into bigger enemies but you should unlock the Godwyn-Branx Mk IV Bolt Pistol  at level 10, this can be used as your ranged weapon and will answer any problems you have with big guys.