I wanted to connect my Raspberry to the wifi without first connecting it to ethernet, ssh and updating the configuration.

To do it, I placed a file named wpa_supplicant.conf at the root of the sd card. Then copy/paste the following code and adapt the required variables such as the network SSID and the key.

ctrl_interface=DIR=/var/run/wpa_supplicant GROUP=netdev
update_config=1
country=FR

network={
    ssid="«your_SSID»"
    psk="«your_PSK»"
    key_mgmt=WPA-PSK
}

Source: Stackexchange