To start building a credit history in the U.S., you could take a credit card, student loan, car loan, mortgage, or other credit product. Typically, the easiest way to build a good credit score is to get a credit card and responsibly manage it. This includes things like making timely payments, utilizing a low percentage of your credit limit, maintaining credit cards for a long time period, etc.
However, usually, credit card providers ask for a U.S. credit score to give you a credit card. International students are therefore stuck in this chicken-or-the-egg problem! Students end up having to wait for several months and sometimes even a few years to get a high-quality credit card. Till then, they pay high-security deposits to access financial services.