At the end of simin 25 of the Shulchan Aruch, the Biur Halacha explains that we put on our tallis before we put on tefillin because there is a principle of ‘going up in kedusha’, meaning that we build up to tefillin with the less holy mitzvah of tallis. The reason that the mitzvah of tefillin is ‘higher’ is that when one puts on a tallis, he is covering himself with a mitzvah, whereas when one puts on tefillin, he is tying himself to the unity of Hashem.
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