Do the encounter deck cards placed on the objective cards in the setup activate their "when revealed"? Also do treacheries activate? In our first attempt at this my son and I placed the 3 objectives then revealed a king spider for the first objective card which when revealed forced us to exhaust a character, then we revealed another king spider for the 2nd objective card. Exhausted another hero. Then for the 3rd objective we got necromancers reach dealing 1 damage to each exhausted character. So during setup we lost a hero to being captured, exhausted 4 heroes, and dealt 1 damage to each? This left no one to quest, effectively raising are threat 10. All enemies attacked with no one to defend killing 3 heroes.

Just bad bad bad bad luck or did we play something wrong?

Thanks

You played it correctly. That's a hard quest already, but man that is a brutal first turn. Shuffle and try again, that's what I'd do.

Escape from Dol Guldur is a very hard quest with only the Core Set.

That is one hell of a brutal setup. I've had similar situations and often I just concede and restart if its overly nasty.