Do you wait for a few seconds (with the key in intermediate position) until the glow plug light goes out, before engaging the starter motor? In tank fuel pump and fuel sender (replaced in my car at ~290.000 km) could be an issue, typically not that soon BUT it is a wear item and easy to replace (easier and less messy with less fuel in the tank).

As you have NO history, good to also change all filters and fluids, including transmission, transfer case, differentials and even power steering fluid. These aren't related to your immediate issue (unless your fuel filter is part of "deferred maintenance"). You'll want to see if your breather (when you replace the air filter) is the older "loo roll" style, in which case you will want to update to the vortex style (I can advise you the specific parts - I'd need the last 7 digits of your VIN).

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2002 Euro X5 (E53) 3.0 diesel (M57)
5 speed manual with UUC short shifter.
Pre-xDrive NV125 transfer case (chain & gears).
Factory Xenon headlights, Spyder LED tail lights
Updated vortex crankcase breather.
Motorsport dead pedal, factory fire extinguisher, factory first aid kit, factory F&R mud flaps, factory PDC

Bilstein B6 shocks F&R
Redline oil has replaced "lifetime" fluids (F&R diff, manual transmission, transfer case and P/S).
Dimple magnetic drain plugs in all compartments.