It seems that formally the only one correct preposition in your context is "at".
"When I arrived at the school I really did not know what to expect.".
Based on Cambridge dictionary and Oxford dictionary and Merriam Webster dictionary, the correct preposition in your context is "at" except for countries and cities names (such as New York) that then you have to use in the preposition "in".
I arrived *in* New York.
Cambridge dictionary explains:
We use the verb arrive with at or in to talk about ‘coming
to’, ‘getting to’ or ‘reaching’ a place where a journey ends. If we
see the destination as a point, we say arrive at. If we see it as a
larger area, we say arrive in. We don’t say arrive to a place.
But according to Collins dictionary we have to distinguish between to "arrive" meanings:
The first meaning with preposition "at": When a person or vehicle arrives at a place, they come to it at the end of a journey.
The Princess Royal arrived at Gatwick this morning from Jamaica.
The second meaning with preposition "in"
When you arrive at a place, you come to it for the first time in order to stay, live, or work there.
...in the old days before the European settlers arrived in the
Anyway, it's very common to see people that use the preposition to in such context, but it's considered as a common mistake even among native English speakers.
By the way, the words "arrive at" can be also an expression:
"Arrive at something", means "to come to a decision about something after much consideration" as Cambridge dictionary states.