Explaining things outright, while can help, is quite the fodder, personally speaking. It's best to show things from the experience of the protagonist. Plus, it gets the audience's attention. Just try to avoid anything too extreme that spoils the story, like a death or a revelation in the story.

I was torn between this Option and explaining the Mythology / Lore of your World. Chose this as I believe it feels more of a fresh start. The current Event could capture people's attention and raise their interest to what transpired beforehand. I'll agree with Windwakerguy that explaining things right off the bat while helpful could have the opposite effect on others than the desired one and prove to be too much. It still depends of course. Up to you in the end !!!!

Mythology and character backstory. I feel this combo would explain everything you want to do in the story effectively. Technically speaking all of these methods can effectively do it. But when it comes to my own personal concepts in rps and stuff. I tend to go mythology and character backstory/current event second. Normally explaining the character backstory/current event in conjunction.

^

I always like to know more about the world itself before getting heavily into the character backstories, so imo this one would work the best. Even though they all could work if done well. (I'm saying now, 2 months later when you've probably already written the whole beginning)