This trophy is earned by completing the quest "Soul shriven in Coldharbour", which used to be part of the main quest and functioned as the tutorial zone. When the game launched, this quest would automatically start as soon as you finish creating your character. This is no longer the case.
As of May 2022, when you create a new character, you'll start a tutorial in the Isle of Balfiera (which is otherwise inaccessible). After you finish the tutorial, you'll be given a choice on where to start playing, whether it's the original Alliance stories or one of the DLC zones (Vvardenfell, Elsweyr, Summerset, Western Skyrim, Blackwood, High Isle, etcetera). As such, the main quest no longer triggers automatically.
In order to start the quest, you'll have to travel to the main city of the first zone (big zone, not starter zone) for your Alliance (you choose your alliance when you create your character). You can travel by wayshrine, even if you haven't explored the zone you'll have one wayshrine unlocked. As soon as you approach the city (Vulkhel Guard if you're Aldmeri Dominion, Davon's Watch if you're Ebonheart Pact, and Daggerfall if you're Daggerfall Covenant), you'll be approached by a strange figure and the quest "Soul shriven in Coldharbour" will start automatically. Follow through the quest, following the markers and talking to the characters as requested. Eventually, you'll end up in a starter island (Khenarthi's Roost if you're Aldmeri Dominion, Bleakrock Isle if you're Ebonheart Pact, or Stros M'Kai if you're Daggerfall Convenant). Talk to the Prophet to finish the quest, and the trophy should pop immediately.