it will be a newbie question, but I'm not sure if do it correctly. I usually turn on my equipment in the following order: turntables first, then turn on a mixer and then connect my headphones. I shut it down in a reverse order - plug off headphones, turn off a mixer and then turntables. Is it correct or should I turn on/off a mixer with headphones being plugged in? If I want to add an audio interface to the chain (turntables -> mixer -> interface -> headphones) I understand that the order should be: turning on turntables, then a mixer, then turning on an interface and finally connecting headphones to the interface?
It's most likely, with equipment made later than 1990 (and that's being pessimistic), that it doesn't matter at all.
If you really want to be cautious, just take care with power amps connected to big loudspeakers. Turn these on last, but before beginning to play music. Turn the volume down to start, then bring it up to the level you need.
This protects the circuitry and the speaker cones from sudden and intense changes of signal. It also protects you from blasts of very loud sound.
re charles' comment, i would always treat headphones the same as other speakers - they are speakers - and leave them til the end when starting up. the jack won't wear out. and if you're not careful you could blow your ears out if your headphones are on when you turn on the amp/source/etc. (so don't put the headphones on until everything is running and turned down).
First off, think of electricity as water flowing through a hose. And your amplifier pumps this water. Turn your gain down. When turning on, power on mixer first then amp/power to your speakers. When turning off, power off amp/power first then mixer. That way you won't kill your speakers, headphones, eardrum, or career with a loud POP. Your hook up order other than that looks good.
There is nothing in your described signal chain that depends on powering-up order. It's entirely and completely irrelevant.
As a side note though, get in the habit of turning your headphone volume down/off when you take them off your head, and turning them on/up only after you've powered everything else up.