Which protagonist to play first: Start with Cai and finish with Theodora
The recommended order is Cai, Dietrich, Leda, then Theodora. Learn the world with Cai, experience changes in power and perspective, and finish with the queen’s main-story connections.
Original video: Fortune's Weave: The recommended order for the four protagonists | YouTube gaming channel Jay Dunna.
Recommended order for the four protagonists
I have completed Parts 1 and 2 with all four protagonists on Hard. To balance gameplay and story, I would start with 
Cai, follow with 
Dietrich and 
Leda, then leave 
Theodora for last.
Start with Cai to get to know the world
The imperial capital and the wider world are new to Cai, so you learn the rules alongside him. His story is more grounded, with a slower opening and gameplay pace. Coming back to Cai after other routes makes that opening more likely to drag, so playing him first flows better.
He fights well and has plenty of tools for solving problems. While you are still learning the mechanics, you can try different answers to the challenges in front of you. The setbacks in his story are interesting too, and feel different when you revisit them from the other protagonists' perspectives. Classes unlocked on his route also help in later play.
Leda suits players who prefer support
Leda's story focuses more closely on her and introduces important characters from another angle. I find the emotional connection easier after playing Cai, but if you usually enjoy support characters, you can start directly with Leda. Cai favors fighting personally, while Leda leans toward support. They offer two different opening experiences.
Experience Dietrich after Cai
Play another protagonist first, then switch to Dietrich, and you immediately feel how strong he is. His Hero's Relic and descent from the Ten Elites translate into an obvious increase in combat power. Having another character's experience first makes the difference stand out.
His story has less pull on the overall main plot. He simply wants to fight strong opponents. He looks serious, but becomes very funny alongside his companions. I find his route the funniest, making him a good follow-up to Cai. You can also play Leda first and come back for that power boost afterward.
Save Theodora for the final perspective
Theodora has the strongest connection to the main plot. Learn what is happening in the imperial capital and why she matters through the other three first, then enter the queen's route for a stronger story impact. I also found her route more challenging. It connects especially naturally to Part 2, making it a good final choice among the four.
If you will only play one route, reverse that priority and choose her first. She is closest to the central events and gives the most direct sense of what everything revolves around.
