Make the story interesting and rewarding. Give them a Quest, a good bbeg that they encounter early(not first session) that they can hate. (Iam mostly very brutal, like killing someone they started to like after Session1 or stealing their shit or maybe let him capture a PC and torture him aka. loosing an eye/ear etc) Then you give them some clues they can follow and whenever they get lost in exploring or sidequesting make the quest somehow related to the bbeg or the anitheros/cult etc. Sometimes even asking them (as NPC) about the journey/Quest can help them to get back on track.

Something else iam doing is timelimits. I dont say u habe 20days left to deliver the item or kill x or y. I just let the world/loved ones/ sidekicks(npc) suffer a bit when they explore „too much“. F.e. They explored an ancient forest for 2 sessions (was awesome btw) and the next 2 villages they encountered where burned down with a lot of details about suffering of the people and dead children, half eaten corpses etc(thats my way or rather my very brutal campaign with a rough setting) and boom suddenly they are back on track and want to find the bastard who did this(aka bbeg).