I have the following sentences.
- This is our first arrival in the UK.
- These are our first arrival in the UK.
I am not sure, which sentence is correct?
"This is our first arrival in the UK" is correct.
There is only one arrival under discussion -- your first one -- so the subject is singular. You used the singular word "arrival". Thus a singular verb and pronoun are called for.
If you were talking about multiple arrivals, you would say "these are". Like, "These are arrivals that occurred during 2014."
It depends what you are trying to say.
If you are talking about your family arriving to the UK for the first time, you might say
This is our first arrival in the UK.
If you are Theresa May and are greeting initial refugees from Syria, you might say to the press
These are our first arrivals in the UK.