Rockets go up first because they need to get out of the atmosphere as fast as possible to reduce air drag. You’d need air breathing engines and wings to make taking off worthwhile, which basically means your first stage is a plane. There are a few rockets designed to be launched from planes, but it doesn’t save you much delta v, and it dramatically reduces your maximum payload to orbit unless you designed and built the biggest plane in the world for this. That’s an awful lot of work compared to just making the rocket a little bigger.
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