Immigration at Bangkok or Phuket

We will be traveling to Phuket from Kolkata. Our flight to Bangkok lands early morning in Bangkok and we have a connecting flight from the same airport (Don Muang) to Phuket 3 hours later.

Where will be our immigration, Bangkok or at Phuket Airport, And after landing do we need to move towards immigration que or towards Transfer for the flight to phuket.

Advice will be highly appreci