His Dark Materials is an adaptation of Philip Pullman's novel Northern Lights, set in Oxford and partly filmed in Gloucestershire. The Oxford in question is, in the words of the opening crawl, part of "a world both like and unlike our own", where souls take the form of animals known as daemons, and where Oxford University is run by a powerful church known as The Magisterium. The TV adaptation is a hugely expensive co-production between the BBC, HBO and a number of independent production companies, as evidenced by the vast army of executive producers listed in the opening credits.
I have never read the books, though I have seen the film The Golden Compass, which bombed at the box office back in 2007. The film version was criticised for supposedly soft-pedalling Pullman's anti-religious message. This message was not very much in evidence during the first episode of this TV series. We are told that the Magisterium is not very nice, but the portrayal so far seems more like garden-variety anti-Catholicism than anti-religion per se. You will find stronger criticisms of the Church in pretty much any comic written by Pat Mills.
Other people who have not read the books have complained that the opening episode was impenetrable to those not familiar with the world of the novels. I personally didn't find it difficult to follow. I did find it a bit of a slog, though, with its running time feeling much longer than an hour. But there was enough mystery to keep me interested, and Dafne Keen (Wolverine's clone daughter in Logan) is a likeable lead, so I intend to keep watching. I hope the pace picks up a bit, though, in future episodes.