There are people on the boards with far more expertise than I, but I have something of an interest in the topic because, just a few months ago, I was in almost the same situation as you. While I haven't been abroad, I paid cash for everything and never took out a loan, so I didn't (and still don't) have a credit score. Here's what I'd suggest:
1. Go to AnnualCreditReport.com (that specific address, and no other), and pull your own report from each of the three credit bureaus. You can normally do that only once a year, but thanks to the pandemic it's currently once a week. So grab them. They'll probably be pretty blank, but it'll give you a warning if there's anything on there you don't like. Do this periodically, particularly before/after big changes. Pulling your own report won't hurt your credit score.
2. Sign up with CreditKarma and Experian. They're both free. CreditKarma provides FAKO (VantageScore) numbers, which aren't the numbers anyone uses for issuing credit, so take the actual scores with a grain of salt. But they're refreshed frequently, so you can use them to monitor general trends. Experian provides a real FICO score, but it'll take 6 months before it can be generated. Both allow you to monitor changes in your credit reports.
3. Get a credit card. Avoid the trashy subprime banks, and avoid anything with an annual fee, because you want to keep it forever (it'll be your oldest card, and age matters for credit history). With zero credit history, I was able to get a Capital One Platinum, which is an unsecured card from a major bank, and no annual fee. Downside is the card has no rewards, and Cap One is very stingy about credit limit increases, and tends to bucket cards, so it may be stuck like this forever. The other traditional alternative is a secured card, where you put down money, and borrow against it. As a mature adult, the down payment shouldn't be a huge hurdle. The most popular secured card seems to be the Discover It, which has nice rewards, an upgrade path, and a company that's better about upgrades. The third alternative is a secured card from a credit union. They're often more generous with people new to credit, and are all about relationships (having checking/savings may help). The fourth option is to look into the FinTech cards, like Tomo, Petal, and many others. I can't vouch for any of them, but they look for alternative means of verifying somone's credit worthiness, and are probably a good choice for someone in your situation (or mine, though I didn't know about them at the time).
4. Let the card age. Use it, but develop good habits. Pay it off every month, learn when it reports to the credit bureaus (typically the end of the billing cycle), practice keeping utilization low but not 0% (if needed, pay it down before it reports, then pay it off before it's due). In six months, you'll have a credit score (November, for me).
5. Consider alternative methods of boosting your score. The big two would be becoming an authorized user, or taking out a share secured Loan. Becoming an AU means someone calls up their credit card company, and has a duplicate of their card issued in your name. When that happens, their credit history with the card appears on your report, potentially giving your score a boost. Anything you charge on the card is their responsibility, so it's typically only given out to children, spouses, or people they really trust. They don't even have to give you the card for it to work, but due anti-abuse algorithims, there's no guarantee an AU will give your score a boost, anyway. For a share secured loan, the plan is to take out a loan for a lengthy period of time (typically 60 months), pay off all but 8.9% (this maximizes the boost), and then pay a token amount each month to left. Do a search on both of these before doing anything -- I'm leaving out a bunch of details, like which loans work and which don't for the SSL technique (most don't), or about what to look for in an AU card. There are excellent threads on both subjects.
6. Research. Learn about soft and hard pulls. Look up AZEO, which helps maximize your score when you need it, like when you're applying for a new card or a loan. Look up what cards are available. Look up all the different types of FICO scores, who uses them, and where to find them. Consider signing up to get all the FICO scores that aren't available for free, at least for a short term, or before a key event like applying for a mortgage. Look up how to contest incorrect items on your credit reports. Look up thin files (like yours and mine). Learn what affects your score, and what doesn't (checking accounts don't). Learn the difference between revolving and installment. Many, many other topics.
