Odd numbers? Essentially the first of all (3)
I believe the answer is:
one
'all' is the definition.
(thesaurus)
'odd numbers? essentially the first' is the wordplay.
'the first' indicates taking the first letters.
The first letters of 'odd numbers essentially' is 'ONE'.
'of' is the link.
(Other definitions for one that I've seen before include "Single person or thing" , "Smallest whole number" , "Lowest cardinal number" , "Sole; number" , "both halves" .)