With risk or a venture into the unknown ... when the outcome unpredictable. This is why it is so easy, but yet sometimes so miserable to remain in a comfort zone.
Circumstances would dictate difficulty in the first step. As a child, our first step is a learning experience in motor skills of sorts. As an old man, the difficulty lies in the condition of health and age. After a bad accident or surgery, a first new step may be as difficult as the one learned as a child. Watched diabetics lose their legs one at a time late in life....
Stepping into some drugs may seem difficult, but abuse the drugs for a time and find the stepping away from them to be more difficult.
Walk a few miles; the last step will be the most difficult if in mountain terrain in boots rubbing sores on your poor feet, for example.
I think the difficulty may lie in the actual decision itself to take that first step on some occasions.
It's always harder to get the ball rolling in the first place. I find every big decision I've made was difficult at first, but afterwards I just kind of went with the flow of it.
If the step is small enough, then it's not so hard. However, sometimes I don't need a first step as much as I need a first leap (far better for momentum) =P
I wonder, is this mostly mental-affecting (courage, bravery, fear-related)? Or this proverb can also be applied in the physical realm? (a.k.a, like, for example, a snowball will snowballing faster after you first snowball it first.)