Besides a game preserve, you don't have much for pheasants locally. I think the northern part of MO has phez but it's definitely not a destination state. Quail numbers aren't good either if anything like a couple hours south, but I would expect that bobwhite are the most plentiful locally for upland. You likely have more access to waterfowl than anything. Waterfowl is an expensive game to get set up for, but it's a lot of fun. In addition to waterfowl, you can hunt spring turkeys in MO. While numbers aren't what they were in the 90s, MO still has turkeys.
If you are up for traveling to neighboring states for upland, KS may be your closest options for pheasants and bobwhites. IL doesn't have enough pheasants to worry about.
I am in Missouri as well, and I just started dove hunting this year. MDC actually manages food plots for doves on a lot of the state owned public land.
So far dove hunting has been challenging but the barrier to entry is little to nothing. Most of the guys I went with have a few mojo decoys and a bucket to sit on.
Do you know anyone who hunts waterfowl and/or pheasants? I'll echo what was said above about waterfowl being a fairly expensive game to get into so it's worth going out with someone who has the decoys/blinds/boat/etc to see if you like it first.
If you enjoy it, I'd start with field hunting ducks and geese. All you really need there are some decoys and a blind and it's a hell of a lot easier to retrieve your birds when you can walk out and get them.
Pheasant hunting is one of my favorites but it's TOUGH without a dog. My dad's main hobby is doing field trials with his labs, so I grew up very spoiled with the quality of dog that we were hunting over for both waterfowl and pheasants. Now I really only hunt for either when I'm back home visiting my parents and can hunt with his dogs.