The more you play the more shit open up. When you start you're alone making a living, then you can get a band and defeat enemies you previously run from, then you can get an army and clash against more powerful opponents, then you can work for a King or try to restore a claimant to the throne and start doing bigger tasks like sieges of castles and cities and so on and so forth. Mount&Blade is a lot of things, but shallow it isn't. It's certainly a lot deeper than Pirates! which is the closest thing to it. Imo, all it lacks is decent "end game" stuff or at least a conclusion like the forced retirement in Pirates!, which I hope the expansion will add. Oh, and some more variety in the available quests, as well as increasing the frequence of some of the better ones. But yeah, just raise a half decent army then find a claimant to the throne and help him get his/her kingdom back, that's what I used to find the most engaging aspect of the game back when I started out, there are cool interactions in and out of combat during that.
Raise your archery and horse archery skills. It may be 100% action combat, but stats matter a lot in this game. At level 1, no, you won't be particularly great in that. The wide open crosshair should be a hint at the shot being near impossible to pull off for you. Raise your skills and it will soon be as tight as when you're off a horse. Or try crossbows.