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Assume a Divine Soul Sorcerer. The spellcasting feature of the class states (highlight mine):

Additionally, when you gain a level in this class, you can choose one of the sorcerer spells you know and replace it with another spell from the sorcerer spell list, which also must be of a level for which you have spell slots.

Can I do this when I gain level 1 in the class?

Let's say I choose the affinity good, which gives me the cleric spell "Cure Wounds" because of the Divine Magic feature:

Your link to the divine allows you to learn spells from the cleric class. When your Spellcasting feature lets you learn or replace a sorcerer cantrip or a sorcerer spell of 1st level or higher, you can choose the new spell from the cleric spell list or the sorcerer spell list. You must otherwise obey all the restrictions for selecting the spell, and it becomes a sorcerer spell for you.

In addition, choose an affinity for the source of your divine power: good, evil, law, chaos, or neutrality. You learn an additional spell based on that affinity, as shown below. It is a sorcerer spell for you, but it doesn't count against your number of sorcerer spells known. If you later replace this spell, you must replace it with a spell from the cleric spell list.

If my class allows me to replace a spell when I gain Level 1, then the Divine Magic would allow me to replace the "Cure Wounds" with for example "Guiding Bolt".

Now intuitively I would say no, because Level 1 is the first level and you can't have less, so you don't "gain" it. However some features explicitly state "Starting at 1st level", for example the feature "Favored by the Gods" from the same Divine Soul Sorcerer. This does hint to me that there might be a "gaining" of 1st level, otherwise this extra wouldn't be necessary.

Starting at 1st level, divine power guards your destiny. If you fail a saving throw or miss with an attack roll, you can roll 2d4 and add it to the total, possibly changing the outcome. Once you use this feature, you can't use it again until you finish a short or long rest.

Bonus question: Is it any different if I multiclass into sorcerer and my first Divine Soul Sorcerer level is not my first character level?

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You don't "gain" your first character level

The rules for creating characters define what "gaining a level" means in the beyond first level section:

Beyond 1st Level

As your character goes on adventures and overcomes challenges, he or she gains experience, represented by experience points. A character who reaches a specified experience point total advances in capability. This advancement is called gaining a level.

The entire section repeatedly uses the wording "when you gain a level" for things that you obtain on levels beyond the first.

An example of another class that gets features when they "gain a level" is the wizard's spellcasting section which states:

Learning Spells of 1st Level and Higher

Each time you gain a wizard level, you can add two wizard spells of your choice to your spellbook for free.

If you also considered that you "gained" your first wizard level, you would then add an additional 2 spells to your spellbook for free beyond the 6 your spellbook starts with. I have never seen anyone consider that this is the case and the pregen wizard character only starts with 6 1st level spells which supports the interpretation that the first character level is not really "gained".

Therefore, the easier interpretation is that your features that state "when you gain a level" in general should apply to getting levels beyond first.

Multiclassing is difficult

You also stated that you were interested in knowing if multiclassing would change this. Indeed, the rules for multiclassing do state that you are "gaining a first level in a class" in the section introduction:

With this rule, you have the option of gaining a level in a new class whenever you advance in level, instead of gaining a level in your current class.

And when mentioning gained proficiencies:

When you gain your first level in a class other than your initial class, you gain only some of new class's starting proficiencies, as shown in the Multiclassing Proficiencies table.

It is also no longer your first character level so the reasoning used above would not apply. This would allow the interpretation that you are indeed "gaining a sorcerer level", therefore letting you retrain the spell as you wanted.

That said, though, considering multiclassing is already an optional rule that you need explicit DM permission to use, asking your DM about whether multiclassing changes this for a Divine Soul Sorcerer would be part of the conversation to have with your DM.

Personal Opinion

As a DM, I'd not allow multiclassing to change whether you can retrain the first level spell. If a player really wanted to get the extra retraining on sorcerer level 1, I might just allow it for a single classed character (though note how that makes the whole thing about choosing the alignment completely pointless, you might as well just gain any 1st level cleric spell) or just not allow it at all even with multiclassing. (Similarly, I'd also not have a multiclassed wizard start with 8 spells, that's just weird to me).

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    \$\begingroup\$ +1 for pointing out that the posited interpretation would make pregen characters weaker than custom ones. \$\endgroup\$ Aug 14, 2019 at 16:34
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You probably gain your first level, but that doesn't mean you can use this

The rules for creating characters mention "gaining a level" in the Beyond first level section (emphasis mine):

Beyond 1st Level
As your character goes on adventures and overcomes challenges, he or she gains experience, represented by experience points. A character who reaches a specified experience point total advances in capability. This advancement is called gaining a level.

Note that this is descriptive, not proscriptive: it says that when you obtain levels beyond the first it is called "gaining a level", but it does not say that obtaining the first level is not called "gaining a level". It does say that "gaining a level" is synonymous with the advancement in ability signified by a specified experience point total. It does not say that this new experience point total cannot be "0" (and see cavaliers below) nor that the capabilities gained cannot be those of first level.

Even though you likely begin playing at 1st level, the narrative of the game assumes that you character had a life before this point in time: that is your Background:

Every story has a beginning. Your character’s background reveals where you came from, how you became an adventurer, and your place in the world.

So your character had a life before they were first level or had a class, and at some point they became first level in their class. The process of going from 'not having a level' to 'being first level' has to be called something, and "gaining a level" seems a pretty natural fit; certainly the rules don't suggest something else for it.

Indeed, for a multiclassing character, going from not having a level in a class to having one is explicitly called "gaining a level":

With this rule, you have the option of gaining a level in a new class whenever you advance in level, instead of gaining a level in your current class.

Here "gaining a level" is used interchangeably for obtaining a further level in your current class or your first level in your new class. Arguing that a single-classed character did not "gain a level" when they become first is special pleading - to be convincing, you need to explain why it would not simply be called "gaining a level".

Sdjz, in their answer to this question, suggests one reason why "gaining" your first level would be problematic. As a wizard, you "can add two wizard spells of your choice to your spellbook for free" each time "you gain a wizard level." Sdjz argues that if this applied at first level, it then would give wizards more than the six starting spells the class is supposed to have. However, I believe this is an example of specific over general. The general rule allows wizards to add two spells per level, but this is superseded by the specific rule that says (emphasis mine) "At 1st level, you have a spellbook containing six 1st-level wizard spells of your choice." The hard limit of six spells at the start applies, regardless of whether or not you "gained" first level. It is this hard limit, in fact, which keeps a character that multiclassed to wizard from starting with more than six spells, even though in this case we know that they did gain first level.

Finally, while 5e currently starts play at level 1, as a historical note I would mention that not all editions did this. In AD&D 1.5, cavaliers (and their sub-class paladins) started at negative experience points and had to adventure to eventually gain first level. In the Greyhawk Adventures Hardback (which was a bridge product between first and second editions), optional rules for making a 0th level, classless character were introduced. That character could spontaneously manifest abilities of multiple different classes, and when they eventually became first level they finally selected their class. While we don't know what the upcoming revision to 5e will bring, optional rules for 0-level characters "gaining first level" in a single class would not require changing any of the current language.

Thus, while we cannot say that RAW admit that single class characters gain first level, we can say confidently that nothing says they don't, multiclass characters explicitly do, no problems with this wording have been suggested, and it certainly seems like a natural use of the language.

So what about Divine Souls?

The point of the original question was whether saying that characters gained their first level would permit an exploit by which a single-classed sorcerer could immediately gain a cleric spell upon character creation, because of the specific language in the Sorcerer Spellcasting feature.

If we grant that a character gains a level when it becomes first level, is this permitted? Let's look carefully (emphases mine):

Additionally, when you gain a level in this class, you can choose one of the sorcerer spells you know and replace it with another spell from the sorcerer spell list, which also must be of a level for which you have spell slots.

Now the question becomes, if a character gains a level as a sorcerer, do they know sorcerer spells and have sorcerer spell slots? If they are gaining second or higher level, they already know sorcerer spells and already have sorcerer spell slots. But do they know these spells and have these slots when they gain first level (whether single classes or multiclassing into sorcerer)? That is not clear.

The rules do not address becoming first level, but assume that you have been first level for some unspecified time when you begin play. Within the fictitious game narrative, was a character initiated as first level, and as a result was then able to learn spells before their first adventure? Or did they slowly learn spells as an apprentice, and once they had mastered a few of them they then became first level? Or did all of the abilities gained at first level suddenly become available at once, at the same time they gained first level? The rules do not address this, because whatever the process was, it already happened before play starts.

Because the rules do not address this, the DM is free to structure the narrative in any way that suits their world-building. If they decide to allow the exploit, they can say that yes, the apprentice sorcerer already has spells and spell slots when they finally become first level and are then able to switch one out. If they don't wish to permit this, they can say that no, gaining first level is merely the beginning and that from that point on the sorcerer works to learn spells until their adventuring career starts.

Thus, while it seems like a character does "gain first level", that in no way decides whether or not to allow this exploit.

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