Yes, there is a story and a main quest but there's very little (read: almost zero) guidance. You wake up crucified in a desert literally naked (if you have full nudity on) except for a bracelet on your wrist. Conan comes along, frees you, then wanders off. There are people you can talk to, messages you can find, and mysterious stones with runes on them that will speak to you, giving you exposition and filling in parts of the puzzle of what you should be trying to do. The game never clobbers you over the head with this, though. There's no giant arrow telling you which way to go, no exclamation points on your map showing quest givers, at least not on normal difficulty (maybe on easy the game has some guidance?). When someone tells you about some place, it doesn't magically appear on your map, they may give you a vague direction like "north" or a description of the surrounding landscape, finding the place is up to you. There is story and lore in the game, but the game does very little (read: nearly nothing) to make sure you find said story and lore.
Conan Exiles is sort of what Bethesda wanted Fallout 76 to be... and horribly failed at.