First, create a scoreboard objective of type "stat.leaveGame":

/scoreboard objectives add quits stat.leaveGame

Next, put this commands into a always active repeating command block:

/execute as @a[scores={quits=1..}] at @s run <COMMAND TO RUN>

And in a chain command block in the direction that the first command block points to:

/scoreboard players set @a[scores={quits=1..}] quits 0

The command you put in the place of <COMMAND TO RUN> will now run every time a player rejoins the game.

The previous answer is good if you want it to run the command every time they join. (i see an exploit if its a good item)

If you only want it to run the command the first time they join, try this:

1. Run this in the chat:

   /scoreboard objectives add joined dummy
   

2. In command blocks on a fill clock:

   /scoreboard players add @a joined 0
   /execute @a[score_joined=0] ~ ~ ~ [command you want to run]
   

3. And finally, this command in a command block powered by a comparator signal from the execute command

   /scoreboard players set @a[score_joined=0] joined 1
   

And this will make sure that the command only runs the first time a player joins the server.

It's very simple. Using functions it'd look like:

Repeating command block:

execute as @a[tag=!Joined] run function1

function1:

<insert commands>
tag @s add Joined

Using Command Blocks

1. Repeating, always active:

   execute as @a[tag=!Joined] run <inert command you want to run>
   

2. Chain, conditional:

   <commands>
   

3. Chain, conditional

   execute as @a[tag=!Joined] run tag @s add Joined