Start by installing HA and some basic functionality like a light.
It’s inevitable that you have to select a way of connecting devices to your system and Wi-Fi is most likely already available. (I started that way)
But… when I started, you could buy Wi-Fi devices of which you were able to flash with other software so you could integrate them directly to HA. I don’t know if you still can such kind of devices.
That leaves you with:
wired
zigbee (wireless)
z-wave (wireless)
bluetooth low energy
Look around, read some and check what kind of devices you want to start with.
From there do a search here in the forum to see what the experiences are with these devices.
Here are a few links to topics about the different technologies: