The Olympics today have been and have always been associated with Greece. Greece is the actual beginning of the Olympics. During ancient history, the Greeks began the Olympics with certain sports including boxing and wrestling, to name a few. Over time, games were added. These games began in order to honor the gods and goddesses that they worshipped. Now, during the Modern Olympics, when it began in 1896, the site for this Olympics was also Greece.
Now, during the opening ceremonies, the first group of people to enter the stadium are those who are from Greece. This seems appropriate since their country began the Olympics hundreds of years ago and then began them again during modern times in the late 1800s.