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Vedas are Shruti texts. Sayanacharya in his commentaries on Rigveda, said that मंत्र ब्राह्मणात्मको वेद that means Mantra (मंत्र) and Brahmanatmak (ब्राह्मणात्मक) combined are considered as Veda. Here mantra refers to Smahita and Brahmanatmak refers to Brahmangranth. So, Vedas are composed of Samhita and Brahmangranth. The end part of Brahmangranth is Aaranyak and the end part of Aranyak is Upanishad. (Only one - Isha Upanishad is the last chapter of Shukla Yajurved Samhita)

So, Vedas are sub-classified into Samhita, Brahman, Aaranyak and Upanishad. Upanishads are also known/refereed as Vedanta (as the last parts of Veda). Upanishads are very important text/source in the philosophy of Vedanta and known as Shruti prashthan or Upadesh prashthan for Prasthanatrayi.

There is no particular sequence/order of reading Vedas but Rigveda are the considered oldest and important Veda. You can start reading anyone from four Vedas.

Also there is no strict sequence of reading Upanishads but there is a traditional sequence according to Muktika Upanishad. Eleven Upanishads are considered Mukhya Upanishads as Adi Shankaracharya and other acharyas have written Bhasya (commentaries) on them which are:

1. Īśā (ईश), also known as Īśāvāsya (ईशावास्य)
2. Kena (केन)
3. Kaṭha (कठ)
4. Praṣna (प्रश्न)
5. Muṇḍaka (मुण्डक)
6. Māṇḍūkya (माण्डुक्य)
7. Taittirīya (तैत्तिरीय)
8. Aitareya (ऐतरेय)
9. Chāndogya (छान्दोग्य)
10. Brihadaranyaka (बृहदारण्यक)
11. Shvetashvatara (श्वेताश्वतर)

First ten are as listed in Muktika Upanishad. Some includes Kaushitaki and Maitri Upanishads in the list of principle Upanishads.

You can start reading the Upanishads in the traditional sequence/order listed above.

Note: First two-three are easy to start and understand and develops your mind and intellect to understand next.