React component initialize state from props

You don't need to call setState in a Component's constructor - it's idiomatic to set this.state directly:

class FirstComponent extends React.Component {

  constructor(props) {
    super(props);

    this.state = {
      x: props.initialX
    };
  }
  // ...
}

See React docs - Adding Local State to a Class.

There is no advantage to the first method you describe. It will result in a second update immediately before mounting the component for the first time.

It should be noted that it is an anti-pattern to copy properties that never change to the state (just access .props directly in that case). If you have a state variable that will change eventually but starts with a value from .props, you don't even need a constructor call - these local variables are initialized after a call to the parent's constructor:

class FirstComponent extends React.Component {
  state = {
    x: this.props.initialX,
    // You can even call functions and class methods:
    y: this.someMethod(this.props.initialY),
  };
}

This is a shorthand equivalent to the answer from @joews below. It seems to only work on more recent versions of es6 transpilers, I have had issues with it on some webpack setups. If this doesn't work for you, you can try adding the babel plugin babel-plugin-transform-class-properties, or you can use the non-shorthand version by @joews below.