You go ahead and file this year's taxes.  Only this year's (2018's) tax info goes on the 2018 file......but when you go to e-file, you will use a zero for last year's AGI,...because you didn't file last year, there is no AGI in the computer system for that year.

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Perhaps you were just starting out after HS, and didn't need to file before....BUT If you did have significant work/military income and  "should have" filed in prior years, but didn't.....for any of those years you would have to buy and download the desktop software to install on your home computer .  Then prepare and mail file those years in separate envelopes for each year.  

You probably don't have to do those prior years before filing 2018, but 2015 needs to be done (and mailed) before 15 April if you are due a refund from 2015.

https://turbotax.intuit.com/personal-taxes/past-years-products/