No history can be as problematic as a bad history.
If it's a case of you not having had credit before it's probably best to start with a credit builder type credit card which you use for small amounts and pay off over a month or two, as the lender sees you are responsible your credit limit will rise and so should your score but bear in mind there's no direct correlation.
If you have debts, pay them down and make sure you make any payments by the dates they fall due as late payments or missing payments has a negative impact on your score of course.
If you have the facility on your main current account, request a small overdraft facility (if one was not already set up when you were approved) but don't use it, this will show other lenders that your bank considers you a good risk.
Oh and one more thing, the score is never a guarantee of getting approved for anything, every bank, credit card company or other credit provider (including mobile phone service providers providing contracts) have their own internal credit management procedures that they will not discuss with you and are not required to, they may say you can contact them to ask them to reconsider but even if you do this the answer will be simply yes or no, they won't tell you why and will just recommend that you check your report.
If you apply for credit and are turned down, leave at least a month before you try again as while declines are not recorded on your file, a series of searches over a short period of time signals desparation and possible financial distress which makes it more likely that your application will be declined.