If you are new to the U.S., you may not have any credit history: but be sure to review your credit report, as student loans or other bills may supply some level of credit history.
Look for a secured credit card or see if you're pre-approved for an offer with low eligibility requirements if you can provide a security deposit for the card.
When you've established credit, you may qualify to get your deposit back or access other credit card benefits and services, like a cash advance or balance transfer, depending on the credit card issuer.