I posted this in a movies sub and a few Redditors mentioned video games.
GTA V has Trevor kill Johnny from the previous game early on
The Last of Us Part 2 (which I haven’t played) kills off Joel at the start
Honorable mention: Mass Effect 2 has Commander Shepard die at the beginning but he’s instantly resurrected
What other games do this?
If it counts, Lufia and the Fortress of Doom’s prologue kills off Maxim and Selene, who end up being the main characters of Lufia 2: Rise of the Sinistrels.