When do I reach the first checkpoint?

I’m relatively new to Bloodborne. I’ve been stuck in Central Yharnam for about a month and a half now.

Today I finally reached Father Gasciogne, thinking that if I die in the fight with the first boss, the game will bring me back into the fight.

Imagine my surprise when I died and went straight back to Central Yahrnam and had to do it all over again.

This genuinely made me upset because I don’t know how long it will take me to reach the boss again and inevitably die once more, which will bring me back to Central Yahrnam. When do I reach the first checkpoint?