At least as of Alpha 1.4.1 all the characters I've tried start out with a weapon, some ammo, a waterskin, and a knife (plus, of course, the clothes on their back). Some also start with lockpicks. As the game is randomized, where you start and what is around you when you start is random, but there are a few things you can do right away to increase your chances of survival.

First and foremost, you should be able to quickly find two sticks and a stone on the ground. Once you have acquired these, you can craft them into a simple stone axe to bash trees and rocks with for more wood and stone as well as make more stone axes. Until you've found some neat loot at ruins or airfields, selling stone axes to merchants for cash to buy goods with is very quick and easy.

When you're ready to leave whatever settlement you're in, be it a Bedouin camp or village, you can simply jump on a camel or horse. Perhaps things will change later, but for now you can take anything you want without being considered a thief. That also applies to chests you can find around settlements, even the locked ones.

You may also find the cost of food to be out of reach when you're just starting. A little bit of hunting can help here, just wander around a little until you find an oryx, bird, lizard, or rabbit then shoot it and skin it. All of these will provide one unit of raw meat (as well as fat, bone, and hide or skin except the bird, which generates no hide or skin) that can be consumed to satisfy hunger. Before you ask, no. For some reason wolves provide only fur and bone at this moment; that and the fact that they will also actively attack you makes them poor choices for hunting. Eating raw meat is harmless right now, which is good as there is no way to cook just meat.

One more thing before I wrap this up, lockpicks. The lockpicking minigame can be easy or hard depending on the specific lock you attempt to pick. Some locks only have one tumbler and have a large sweet spot, while others can have more tumblers and each tumbler also decreases the sweet spot. If you find locks with more tumblers to be too difficult, it is easy enough to "retreat" with the [Q] key without losing anything.

Ok, one more one more final word... If you come upon an airstrip you can do more than just take the ammo, fuel, and tires from vehicles. If you shoot them a few times they will explode and be lootable for scrap metal as well. Seems kinda silly, to have to destroy it and use the ammo instead of just scavenging the functional vehicle, but that's just how it works right now.

That's pretty much it for right now. You might also want to open the crafting menu just to get an idea of what's required for various items if you can't find them for purchase (an M1917 rifle to use the .303 ammo from the vehicles is a good thing, though in reality the M1917 is chambered for 30.06 Springfield, not .303 British. If they renamed it to a P14 rifle, all would be well)