Pyro is a little rough out of the gate. More of their power is hidden within mods and synergy than some other classes, meaning that barebones is pretty underwhelming.

Volcanic rounds build around having infinite ammo is one way to sidestep feeling worthless without skills up.

Second would be gearing and leaning into firepower.

Lastly, you don't always have to play on the highest world tier.

Ive leveled 3/4 classes so far, and pyro was definitely the weakest early on, but its power caught up as the game went on. Trickster was definitely the strongest (and amusingly, you can play a pretty spammy ability style build if you want). Dev is really satisfying early on, but you feel a lot more of its shortcomings later on.