If you are using a convert command line you can execute it with these parameters:
convert source.pdf[0] output.jpeg
Note that the page count of ImageMagick is 0-based. So [0] means ‘page 1’. To select, say the 4th page, you’d have to use [3].
This syntax does not only work for PDF input. It also works with other multi-page or mult-frame formats, such as multi-page TIFF or animated multi-frame GIFs and PNGs.