Yes, address verification is one of the recurring headaches of settling anywhere new, and it is circular: the bank wants proof of address, but the utility that could prove it wants a bank account.
The documents that typically count as proof: a rental contract or lease, a utility bill in your name, a government registration certificate where the country issues one, a landlord's letter sometimes paired with the landlord's own ID or ownership proof, and occasionally an employer's letter.
How people break the circle: use the rental contract as the seed document since it exists before anything else, ask the landlord for a registration or address letter, or get one institution with lighter requirements onboard first and use its statement for the rest. Requirements differ by country and even by bank branch, so ask exactly which documents they accept before queueing.