If you're new to an author, it's best to start with one of their most popular books or series. In Philippa Gregory's case, that would be her Tudor series.
The Tudor series began in 2001 (via Goodreads) with "The Other Boleyn Girl", one of Gregory's most popular books to date. The book focuses on Anne Boleyn, Henry VIII's second wife and another controversial figure in history, and her sister Mary Boleyn. Over the course of the novel, both fight for Henry's attention in the hopes of gaining more political power and advancing the Boleyn family. The book was made into a film in 2008, starring Natalie Portman, who underwent a stunning transformation to play Anne Boleyn. It also featured Scarlett Johansson playing the role of Anne's sister Mary (via IMDb). As of now, the book has a 4.7 average star rating on Goodreads, showing its enduring popularity over 20 years later. Though it isn't the most historically accurate, it's a great place to start if you like racy and fast-moving historical fiction.
However, as noted by the book blog Off The Shelf, this novel isn't actually the first when it comes to the historical order of events. That would be "The Lady of the Rivers," which centers around Jacquetta, the Duchess of Bedford, and sets up the backstory for the other events nicely.
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