If you mean the first stitch you're knitting to join in the round, it's possible that your cast-on was uneven. If you mean the first stitch in every round, which can sometimes be a problem, think about your cable. If it's too short or too stiff, it can be putting strain on the stitches where your work is divided, i.e. the first/last stitches of the round and your center stitches.
If it's really bugging you, I'd suggest pulling it all out and casting on again, possibly using a different cast-on method, and then consciously knitting the first join stitch (and several stitches thereafter) very tightly.
Hope this helps!