How do I create a 3x3 matrix of Images with a letter at the beginning of each line?

You need nothing special:

\documentclass{article}
\usepackage[export]{adjustbox} % also loads graphicx

\begin{document}

\begin{figure}[htp]
\centering

\makebox[1em][l]{A}%
\includegraphics[width=0.25\textwidth,valign=t]{example-image-1x1}\hspace{1pt}%
\includegraphics[width=0.25\textwidth,valign=t]{example-image-1x1}\hspace{1pt}%
\includegraphics[width=0.25\textwidth,valign=t]{example-image-1x1}\\
\makebox[1em][l]{B}%
\includegraphics[width=0.25\textwidth,valign=t]{example-image-1x1}\hspace{1pt}%
\includegraphics[width=0.25\textwidth,valign=t]{example-image-1x1}\hspace{1pt}%
\includegraphics[width=0.25\textwidth,valign=t]{example-image-1x1}\\
\makebox[1em][l]{C}%
\includegraphics[width=0.25\textwidth,valign=t]{example-image-1x1}\hspace{1pt}%
\includegraphics[width=0.25\textwidth,valign=t]{example-image-1x1}\hspace{1pt}%
\includegraphics[width=0.25\textwidth,valign=t]{example-image-1x1}

\caption{The global caption\label{label}}

\end{figure}

\end{document}

The trick is valign=t, to obtain top alignment with respect to the letters.

Why 1pt? Because it's the default value of \lineskip.

A possible alternative with no space between the images and the block of images centered without keeping the letters into account.

\documentclass{article}
\usepackage[export]{adjustbox} % also loads graphicx

\begin{document}

\begin{figure}[htp]
\centering
\setlength{\lineskip}{0pt}

\makebox[0pt][r]{\makebox[1em][l]{A}}%
\includegraphics[width=0.25\textwidth,valign=t]{example-image-1x1}%
\includegraphics[width=0.25\textwidth,valign=t]{example-image-1x1}%
\includegraphics[width=0.25\textwidth,valign=t]{example-image-1x1}\\
\makebox[0pt][r]{\makebox[1em][l]{B}}%
\includegraphics[width=0.25\textwidth,valign=t]{example-image-1x1}%
\includegraphics[width=0.25\textwidth,valign=t]{example-image-1x1}%
\includegraphics[width=0.25\textwidth,valign=t]{example-image-1x1}\\
\makebox[0pt][r]{\makebox[1em][l]{C}}%
\includegraphics[width=0.25\textwidth,valign=t]{example-image-1x1}%
\includegraphics[width=0.25\textwidth,valign=t]{example-image-1x1}%
\includegraphics[width=0.25\textwidth,valign=t]{example-image-1x1}

\caption{The global caption\label{label}}

\end{figure}

\end{document}

Let me just repeat my above comment.

\documentclass{article}
\usepackage[export]{adjustbox}
\begin{document}
\begin{figure}
\centering
\begingroup
\newcommand{\InclGr}[1]{\includegraphics[width=2cm,height=2cm,valign=t]{#1}}%
\begin{tabular}{c@{~}*3{@{}c}}
A & \InclGr{example-image-duck} & \InclGr{example-image-duck} & \InclGr{example-image-duck}\\
B & \InclGr{example-image-duck} & \InclGr{example-image-duck} & \InclGr{example-image-duck}\\
C & \InclGr{example-image-duck} & \InclGr{example-image-duck} & \InclGr{example-image-duck}\\
\end{tabular}\endgroup
\end{figure}
\end{document}