For a story, you need a character in a setting with a problem. You can start from any of those elements and develop the others. If you have an interesting character in an interesting setting with an interesting problem, it makes absolutely no difference in what order you developed them.

If you have a setting, find a character with a problem in that setting, and you have the beginning of a story.

You might take a character that you developed for some other story, or a character that you think is interesting, but don't have a story for yet. Or make up a random character on the spot. Then plop the character into the middle of your setting and see what happens.

If you don't have a character, the setting might suggest some:

Who would necessarily be there?
Who might be there?
Who wants to be there? Who does not?
Who would be the most interesting person in your setting?

Note the specific things that are different between your setting and the real world. For each specific change, ask:

Who would be most affected by that change?
Who would benefit the most from that change?
Who would be most hurt by that change?
How would that one change affect the most privileged people in that setting? The least privileged?
For whom would that change create problems?

Make a big list of possible answers. Then pick out one or two interesting characters.

Once you have a (candidate) character, develop some kind of relationship between the character and the setting.

Plop the character down on an interesting street corner, and ask

What does the character see, hear, smell, feel, and taste?
What is the character's opinion of each of those things?

What problems might this particular character have in this setting?

Make a list of ten or so possible problems.
Pick out one or two interesting problems, and write them as possible openings.

If you have an interesting character in an interesting setting with an interesting problem, it makes absolutely no difference in what order you developed them.

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