You've got to have it. Even if your main character really was magically conjured up out of nowhere in the first scene, there was someone, or something, conjuring him, and he landed in a world with a past. And the number of stories that work with such characters are few.
But there's a real danger in introducing it. Especially when it can lead to the reader going -- wait a minute, is this really the first book? Did I happen on a series and not notice?
The easiest case is when you just started the story too late. The desire to start in media res should not be allowed to start actually in the middle when the info-dumping is too much. Or even to make this the second book in the series.
But sometimes the information does not spring from earlier scenes. And sometimes it wasn't an earlier story. And it might have to be inveigled somehow. Indeed, inconsistent elements in a character's backstory are productive of characterization and plot. (Why does the daughter of a noble house, even a youngest child, know how to pick locks?) But it might also just be that the character is overloaded with past. Some elegance is needed. For one thing, the unity of the plot may suffer from too much, too.