A theorem of Anderson and Bando-Kasue-Nakajima from 1989 states that to compactify the set of normalized Einstein metrics with a lower bound on the volume and an upper bound on the diameter in the Gromov-Hausdorff sense, one has to add singular spaces called Einstein orbifolds, and the singularities form as blow-downs of Ricci-flat ALE spaces. This raises some natural issues, in particular: can all Einstein orbifolds be Gromov-Hausdorff limits of smooth Einstein manifolds?.. Can we describe more precisely the smooth Einstein metrics close to a given singular one? In this first paper, we prove that Einstein manifolds sufficiently close, in the Gromov-Hausdorff sense, to an orbifold are actually close to a gluing of model spaces in suitable weighted H\"older spaces. The proof consists in controlling the metric in the neck regions thanks to the construction of optimal coordinates. This refined convergence is the cornerstone of our subsequent work on the degeneration of Einstein metrics or, equivalently, on the desingularization of Einstein orbifolds in which we show that all Einstein metrics Gromov-Hausdorff close to an Einstein orbifold are the result of a gluing-perturbation procedure. This procedure turns out to be generally obstructed, and this provides the first obstructions to a Gromov-Hausdorff desingularization of Einstein orbifolds. (read more)