The most difficult thing for me in the first semester was walking the line between "grades don't REALLY matter" and "sending a signal that you are cut out for this"
In my program, the 1st semester is 4 courses: mathematical econ, advanced stats, micro theory, and asset pricing theory. I did a MSc in stats, but that only helped with about 25% of the stats course. With 3 courses in the econ department and 1 in the business school (arguably the hardest course we will take), it was not the volume but the depth/difficulty of the work. It was the first time I had ever relied on exams to be curved in any way.
Ultimately I had B+/A/A/A- grades, which are sufficient to send the necessary signals, but at no time did I feel comfortable with all of the material being thrown at me.
For me, it helped to have had experience working 80-100hr weeks, and if I'm being honest, I spent around 60-70 hours a week on average working this semester, with mid-term and finals weeks being higher (80-90). It was not as brutal as I expected/prepared for, but if I had come straight from an undergrad or MSc, I could see how it would've been a shock.