The main storyline flows pretty smoothly with the level scaling so you can jump right in after leaving those sewers, but getting the timing right for everything else makes a big difference. For daedric stuff you'll want to watch those level requirements carefully, especially hermaeus mora's quest since it needs you at level 20 plus finishing all the other shrine quests and getting far enough to hit blood of the daedra in the main story.

The dlc content's been reworked nicely so it doesn't all dump on you the second you escape the prison, which helps prevent getting overwhelmed early on. Knights of the nine has some really specific stuff with finding shrines and solving those armor puzzles, and getting the timing right makes a huge difference when you're dealing with the combat sequences.

A solid approach is knocking out the main quest until you hit blood of the daedra, then tackling those faction quests around level 15-20 when you've got decent equipment and stats. The shrine quests work best when you space them out as you level up, and it's worth noting that after finishing the priory questline you get a permanent storage spot which is pretty handy. Just remember that while the main story's pretty flexible with levels, taking on those side activities too early can make things unnecessarily tough.