Interconnect priority

From my experience…it highly depends. Each interconnect has its own priorities. For example with Acoustic Zen Silver Ref II and Matrix Ref II, the more expensive Silver Ref II always worked best between source and preamp with Matrix Ref Ii feeding the amplifier. The Silver is a more expensive cable but I will not say it’s a better cable, it’s different. It’s thinner and brighter sounding than the Matrix with more sparkle up top and thickening it up and taming that brightness with the Matrix from preamp to amp works best. Not so with the Absolute copper that’s very natural, smooth and open sounding. You want that cable between preamp and amp as all you’re going to accomplish if you use it on source is make the Matrix a bottleneck. So when we’re talking about a better cable, a bit more context wouldn’t hurt. Similar design but higher line from the same manufacturer, I would always put a better cable from pre to amp. 
Same goes for power cords. Best power cables make the most improvement on the amplifier(s). Ultimately you have to try and hear it for yourself - it’s very component and cable dependent. 

It will depend on particular components and particular cables. While in analog based system tonearm cable is the most important of all cables, in digital based system there is no clear answer to the question.

Start with source.

I think it depends on the gear. I found my preamp and amp on 2 systems are less dependent on the XLR. In both systems I use 15-foot and 25-foot Benchmark XLR. For my sources. I use Audience AU24 SE XLR and RCA. I can hear a difference there.

My experience is consistent with the source first approach. It is annoying to hear these differences, especially with loaned cables, because once I hear it, I want it all the time. It is just $$$.