You can't actually use the Clojure jar like this with java -jar as it has a couple of dependent libs (spec.alpha and core.specs.alpha). But getting started with the `clj` tool is just as easy.
So! Clojure 1.8 still works without dependencies for trying the jar [1]. Otherwise, I'd skip to installing 1.10 through the system installer.
1: https://repo1.maven.org/maven2/org/clojure/clojure/1.8.0/
Linux can use brew as well, or just download an installer shell script and run it.
Windows can use an (alpha) installer for Powershell or use Scoop via this bucket https://github.com/littleli/scoop-clojure
That's for the official CLI that works with deps.edn files for dependencies.
You can also download Leiningen -- a single shell script (macOS/Linux) or batch script (Windows).
If you use brew/scoop, I don't think you even need a JVM installed as they will do that automatically.