I wouldn't say they're more difficult per se. But they're very different in terms of gameplay. The later 3 are the same engine and Todd Howard as dirrector. The earlier are made for DOSS, different engine, and while Todd was involved they had a different director. This all makes them more different compared to the later 3.

If anything, I was suprised bow well they play despite the odd mouse-only controlls. I think Morrowind is the most difficult overal, but Arena and Daggerfall will take a bit more getting used to.