TL;DR
Iron is easiest to farm in natural caves, not by digging your own tunnel. Your best early iron comes from caves in Emerald Grove, and the best bulk farming usually comes from larger cave networks you find while exploring Howling Sands. Go deeper in a cave system, scan walls and ceilings, then leave in short loops so you don’t get lost or overstay.
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Where iron shows up most often
Emerald Grove (best for your first upgrades)

If you just need enough iron to craft a real pickaxe and stop feeling underpowered, stay in Emerald Grove. Look for caves that drop into multiple levels quickly. Caves along cliffs, ravines, or river cuts tend to get you underground faster than tiny surface holes.
Howling Sands (better for bigger hauls)

When you want iron in quantity, desert travel makes cave hunting easier because you can spot ravines and entrances from far away. You are not guaranteed huge caves every time, but it’s usually a better zone for finding wide cave networks in a short session.
The fastest iron route
This is the iron run that wastes the least time.
Find one cave with a clear downward path. Go down until you start seeing iron consistently, then mine in short branches and return to your main route each time. If you are only seeing copper, you are probably too high in the cave.
To keep the run clean:
1) Place a simple torch trail so you can reverse your path.
2) Mine the visible iron first. Do not chase every side tunnel.
3) Leave once your inventory is getting heavy. Banking ore beats dying with a full bag.
What you need to mine iron
Most builds let you mine iron with an early pickaxe, but a better pickaxe tier makes farming less painful. If mining feels slow or inconsistent, upgrade your pickaxe before you assume you are in the wrong place.
For a smooth run, bring:

Smelting iron
Smelt Iron Ore in a Furnace to get Iron Ingots. The exact timing and fuel behavior can vary by build, but the basic loop is always the same: ore in, fuel in, ingots out. If you plan to smelt a lot, bring extra fuel so you don’t keep interrupting the batch.
What to craft first with iron
If you want the fastest payoff, craft an Iron Pickaxe early. Mining speed affects everything that comes next.
After that, choose based on what is slowing you down:
If caves are costing you too much healing, start improving armor.
If fights are dragging, upgrade one weapon so you can clear threats faster and mine in peace.
Common mistakes that make iron feel rare
Iron usually feels rare for one of these reasons:
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You are digging your own tunnel instead of using caves that expose more rock surfaces.
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You are staying in the upper parts of caves where copper is common.
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You are not marking your route, so you waste time retracing or get forced out by panic navigation.
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You try to clear the entire cave in one go instead of doing short, repeatable loops.