Most magical girl series' start by showing the girls' normal lives: Y'know, waking up, going to school, chatting with friends, etc. It's basically tradition; no one would mind if you just did that.
OR, you could:
1) Lean into it
Don't just show the girls' normal lives, show parts of their lives that really set the tone for what kind of story you're going to tell. If it's a dramatic story, open with a dramatic conversation between your MC and someone they're having issues with. If it's a violent story, open with a violent scene: a fistfight after school, or maybe a martial arts class (for a more lighthearted option~).
For example, I once wrote a script for a sort of science-themed magical girl story, where the conflict between the MC and her best friend would drive a lot of the plot later on: so I opened it with the two girls making a presentation on a science project for school, and then the MC has a bit of an awkward conversation with her friend, before running into the plot elements that will eventually split them apart.
2) Subvert it
Like you said, you could instead just jump straight into the action. Start with the scene where your MC becomes a magical girl, or start with her already in action as a magical girl. Start with the aftermath of a battle, even, and show how she handles a successful/failed mission.
All of these are opening scenes that readers likely haven't seen before, and thus will be interesting just by virtue of being there. Although you can always jazz 'em up further by using them to spotlight the MC's personality.
