The first turn strategy in Through the Ages can vary depending on a player's preferred approach. One common strategy is to focus on building up a strong military presence early on. This involves investing in military technologies, recruiting armies, and developing defensive structures to protect one's civilization. By establishing a solid military foundation from the start, players can deter potential attackers and secure their territory. However, it's important to balance this militaristic approach with other aspects of gameplay, such as resource acquisition and scientific development, in order to maintain a well-rounded civilization.