I got extremely lucky with one of those in my new game.
Two almost-rookies with starting equipment. I intended to just grab one sectoid corpse and his stuff but I just couldn't do the pickup safely without killing most other enemies too and then I just killed them all in the end
The car was parked just in front of a large scout and all but one sectoid spawned either inside or behind the ship. So I had effective cover right from the start. My dudes seemed quite strong against psi, too. Only a single panic attack. Aliens were armed with mostly canister guns and plasma rifles. Most importantly, they had no pistols, so I didn't get much reaction fire. That means I could weaken them (somewhat) safely with snap pistol shots and retreat back to cover, then rush in with shotguns the next round (melee skill was too low). I lost a a guy near the end, when a point blank shotgun blast didn't kill.
That mission made me filthy rich (well, about 1.5 million was a lot of money then). Most importantly, lots of alloys, which I will soon be able to research.
I received a downed UFO mission mission later on and it was much harder even though on paper it should have been far easier.
Just 3 or 4 living enemies, lots of government soldiers fighting on my side and my two trained agents armed with assault rifles this time (unfortunately still no grenades). Sounds good? But it was a nightmare.
The allied soldiers took out an enemy despite their ineptitude, but what they mostly did was to draw lots and lots of enemy fire. This resulted in the map being covered in smoke, which didn't hamper the sectoids at all but it totally ruined my plan of sniping from a safe distance, while the grunts take the heat. So I had to get close, which I wasn't equipped for.
Compared to pistols, rifle snap shots are inaccurate and most importantly in this case, they cost more TUs. The alien's reaction fire was triggered and I had a very bad day.
So, a valuable lesson was learned:
In early missions against sectoids bring pistols, preferably colts, even if you have 'better' equipment available. Shotguns are also useful, but only if you can be assured, that they won't be able to fire back (take out shields first).