What is the first action or filter executed by wordpress?

Here is nicely described what and when is loading and why. I recommend also this awesome plugin Query Monitor that helped me also to fix performance issues.

in short:

muplugins_loaded
registered_taxonomy
registered_post_type
plugins_loaded
sanitize_comment_cookies
setup_theme
unload_textdomain
load_textdomain
after_setup_theme
auth_cookie_malformed
auth_cookie_valid
set_current_user
init
widgets_init
register_sidebar
wp_register_sidebar_widget
wp_loaded
parse_request
send_headers
parse_tax_query
parse_query
pre_get_posts
posts_selection
wp
template_redirect
wp_default_scripts
wp_default_styles
admin_bar_init
add_admin_bar_menus
get_header
wp_head
wp_enqueue_scripts
wp_print_styles
wp_print_scripts
loop_start
the_post
get_template_part_content
begin_fetch_post_thumbnail_html
end_fetch_post_thumbnail_html
loop_end
get_sidebar
dynamic_sidebar_before
dynamic_sidebar
dynamic_sidebar_after
get_footer
twentytwelve_credits
wp_footer
wp_print_footer_scripts
admin_bar_menu
wp_before_admin_bar_render
wp_after_admin_bar_render
shutdown

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