Once you reach the closing hours of Baldur's Gate 3 Act 1, you're presented with a choice. There are two routes to Moonrise Towers, one that goes through a Mountain Pass and one that goes through the Underdark. The game presents this as a choice as if you can only do one of them, but you can actually do both of them, and it's actually recommended.
Which route should you take in Baldur's Gate 3 Act 1?
Taking the Mountain Pass route progresses both Lae'zel's story missions and Gale's story missions, and is also a much faster route to get to the Shadowlands during Act 2. In comparison, The Underdark is fairly long, and filled with side quests and extra stuff that you can explore, so doing this second actually makes it a lot easier with everything you'll have gained through the Mountain Pass.
The Underdark helps to progress Shadowheart's story and also has several other cool areas that you'll want to explore before the end of the game. If you're somebody who is looking to do everything, then you should save this until just before you start Act 2, then once it's completed you'll be ready for anything that the Shadowlands could realistically throw at you.
This is all still part of the first act of the game, and you won't enter the second act until you hit the Shadow-Cursed Lands, so do everything that you can, take your time and enjoy the journey. It's worth noting before you get started though that the Mountain Pass