Except if you do that, it's because you've set it up that way.
I grant you it is easier in many ways, and probably has more ways to open the story. Still, having the heroes start the fireworks is not that complex.
You, for instance, have the villains win in the back story. The land is already groaning under the crushing reign of the Evil Overlord, and you must act to free it! To be sure that raises the problem of whether you dump your point-of-view character, and so your reader, into the full-blown evil at once. It does not have to be the soldiers smashing up the village to make an example, but even a desperate smuggling venture gone wrong could give the full weight at once. Unfortunately, that gives you no chance to ease the readers into the scale of the problem, and the "drop in the deep end" technique doesn't always work. But while easing the characters in, it is often easier to have the villains initiate the problems with something nasty. A la The Hunger Games -- Katniss reacts to Prim's name being drawn, she doesn't initiate the action. It's not necessary, though. The Last Unicorn starts with the last unicorn. King Haggard's significant actions (outside the backstory) are all in response to her actions.
There is, of course, the decadent empire of soft and lazy tyrants, where the chief villains won't act, so the heroes must start the fun and games until they rouse them enough to fight back. Then, that setting raises the question of why these oozingly corrupt and degenerate souls could manage to keep control over an evil empire. Their soldiers, at least, would have to have some martial virtues, which would let them trample the decadents with ease. Still, many pulp writers have managed to write stories where these problems do not come to the forefront, and magic or something could be used to finesse them justifiably.
Still, you have more possible ways to have the hero start the fun and games. In some ways, The Lord of the Rings opts for the heroes' beginning their own story. Gandalf would have be curious about the ring, and then urged its destruction, even if Sauron had yet to return. . . .
Come to think of it, that means that the plot of The Lord of the Rings rests on a great whooping coincidence. The ring happens to land in Bilbo's hands and come to Gandalf's attention just when Sauron is already rising as the Necromancer. What a great writer Tolkien is. I never noticed that. Especially since his hunt for the ring is not a coincidence -- the Gollum's leaving the Misty Mountains is completely plausible, as is his bring drawn into Mordor. Only the way Sauron is there to receive him is the coincidence. (Plot suggestion: your characters happen on an Artifact of Evil that will draw destruction down on the world -- later -- and heroically set out to destroy it now, getting, unsurprisingly no help at all.)
Then, that is another option for the story. The heroes set out improve something, which thwarts the villain's current situation. Endevouring to break the curse on the barren land will not endear you to those who import the food at a nice mark-up. Building a bridge across a crevice will change patterns of traffic and make life more difficult for the smugglers. Etc. But a hero who actively wants to improve something can easily seize the initiative. Harder than for the villain, because the villain can always want power to revenge himself on those who injured him, or just for power's sake; the hero needs a heroic goal. Still, there are a lot of heroic goals out there.