Forget what others think
In order to decrease the stress you feel about your first time, just forget what others are thinking of you.
First, many people don't really care that much if you happen to fail at something. If you are open about your inexperience, they are most likely to forgive your inability to perform well.
Second, remember that others have also started from "zero" as well (driving a car, giving a public speech, going out for a date, etc.).
Third, focus on your own performance ― not on others. For instance, if you're going to be running in your first marathon ever your goal is just to pass the finish line, not to run a new world record.
Ditch the perfection
On very rare occasions can you manage to do something perfectly the first time you do it, so when you do something for the first time, it is time to ditch the notion of perfection.
I remember the first time I drove a car in traffic after getting my driver's license. I was very nervous and I was overwhelmed by the traffic ― my driving style showed that I wasn't a very confident driver. Now I'm much more experienced as a driver. Although I still don't consider myself a perfect one, I'm much more confident behind the wheel than what I was when I started.
In general, it is useless to strive for perfection when you do something for the first time. You are setting the bar too high and you just feel bad when you are not able to meet the level you have set.
Also, perfection is just another way to procrastinate（耽搁，延迟）, so trying to be perfect is just a waste of time. You want to pursue excellence instead.
The time you spend doesn't matter
One common characteristic of doing something for the first time is that it is most likely to be more time-consuming than subsequent times. If you are inexperienced, the first few times you are just going to be learning anyway ― and hopefully getting better in the process.
Just take your time and try to learn as much as possible as you go. You will realize that the second time is much easier, since you already have some experience in your pocket.
Plan and prepare
If possible, try to plan and prepare as much as possible before doing something new. This way you will gain more self-confidence, and by planning and preparing you actually may have a bit more control of things.
But you don't always have that sense of control. For instance, if you are going out on a first date, you cannot plan every possible topic to talk about in advance ― nor is it reasonable to do that.
On the other hand, if you are going to take a certification test related to your profession, you can study and prepare so that you can reach a whole different level when you take the exam.
Prepare for the second time
Once you have gone through your "first time experience", you'll have broken the biggest barrier of all. The excitement and fear is most likely gone and the next time won't be that scary anymore.
To make the next time even a smoother experience, do these two things during your first time:
Take notes. It never hurts to write things down as you go. These notes can help you to feel more confident and you can go them through when preparing for the second time
Run through a checklist. Create a checklist, so that you can prepare even better for the next time. For example, to prepare yourself to give a presentation, write down a checklist to go through before the actual event. This way you can make sure that all the necessary requirements are met before the presentation begins.
You'll never be fully prepared for the first time at everything, but if you use the tips above the next time you face something new you'll have a much better chance to enjoy the experience. And then you'll want to do it again.