Weapon selection is dependent upon Class choice in Warhammer 40,000: Space Marine 2. This in turn determines your combat role, especially in Operations. Here are the best weapons to upgrade first in Space Marine 2.
Plasma Incinerator
- Primary Weapon
 - Tactical Class Exclusive
 - Rapid-fire, mid-range plasma weapons. Can be charged.
 - A good weapon for all kinds of combat scenarios with its charged shots and area-of-effect damage, this firearm also spreads out its stats in a balanced fashion, and has a 130 round magazine.
 
Melta Rifle
- Primary Weapon
 - Tactical and Vanguard Classes
 - Close-range thermal weapon.
 - Shotgun style firearm for room clearing and crowd control. Relatively small magazine, and only three full reloads in reserve. Best for PVP over PVE.
 
Heavy Bolt Pistol
- Secondary Weapon
 - Assault Class Exclusive
 - High-powered, semi-automatic, mid-range pistol.
 - The better of the two sidearms, with a smaller magazine and reserves, but better stats overall.
 
Thunder Hammer
- Melee Weapon
 - Assault Class Exclusive
 - Slow Melee Weapon that deals powerful area-of-effect Damage.
 - An Assault Class exclusive for a reason, this should be your go-to for melee combat. Makes up for the slow attack speed with sheer brute force power.
 
Occulus Bolt Carbine
- Primary Weapon
 - Vanguard Class Exclusive
 - Rapid-fire, mid-range carbine with extended magazine.
 - Large magazine, and seven full reloads in reserve for fast kills at close range.
 
Plasma Pistol
- Secondary Weapon
 - Bulwark and Heavy Class
 - Rapid-fire, mid-range plasma pistol. Can be charged.
 - A mini version of the Plasma Incinerator with the same charge attack, and area-of-effect damage potential.
 
Power Sword
- Melee Weapon
 - Bulwark Class Exclusive
 - Versatile Melee Weapon.
 - A shield-bearer requires a sword, and the class-exclusive Power Sword is the best there is, with balanced Defence, Strength, and Speed stats.
 
Las Fusil
- Primary Weapon
 - Sniper Class Exclusive
 - Scoped, single-fire energy rifle.
 - Large magazine capacity and massive damage potential make this the go-to long-distance firearm for snipers.
 
Multi-Melta
- Primary Weapon
 - Heavy Class Exclusive
 - Close-range, high-powered thermal weapon.
 - Effectively a double-barreled shotgun, the 20-round magazine makes it a more effective tool for crowd control than the standard Melta Rifle in PVE.
 
Those are the best weapons to upgrade first in Warhammer 40,000: Space Marine 2.