Arena is quite demanding
My suggestion is to play Daggerfall first, with the modern engine called Daggerfall Unity
If you find yourself having fun, then giving Arena a try would not be so bad idea.
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I wouldn't say they're more difficult per se. But they're very different in terms of gameplay. The later 3 are the same engine and Todd Howard as dirrector. The earlier are made for DOSS, different engine, and while Todd was involved they had a different director. This all makes them more different compared to the later 3.
If anything, I was suprised bow well they play despite the odd mouse-only controlls. I think Morrowind is the most difficult overal, but Arena and Daggerfall will take a bit more getting used to.