It's always best to focus on your cities as the return on investment is higher. For resources, it's about the same, but your cities have a higher cash production rate and that's important if you like buying resources off the market and paying your spies. However, with that said, I'm a fan of rural industry for a few reasons. First the ROI is higher in cities for Recruiting Centers. So you should give those priority over industry. You can build both at the same time. Building rural industry is a good way to do that. Plus it's more incrementally attainable. Once you already have lvl 3 industry in your cities, lvl 4 is expensive and if you're paying for key research, producing units, and upgrades, starting a rural industry at lvl 1 is cheaper and still improving your output of that resource.

Ideally in the early game you build RCs in your cities and ICs (industrial complexes, or the old name for local industries) in the rurals, until you've maxed the ICs. However, you shud consider going for industry for the missing rss (the rss you don't have a rural province for, usually one but sometimes two).

A video from BMFox actually addressed this - he essentially goes through all the advantages and disadvantages of building only city, only rural, city and rural, different levels, etc.

If you don't want to watch it all, to save you time he concluded (using data and graphs etc) that the most efficient and productive use of your time, which guarantees the earliest return of the most resources, is building both rural and city industry at the same time.

Having said that, of course every game will be different, and for example if you're focusing on a tank & navy strategy then goods won't be as much required, etc for different strategies. However this is a good generalisation, and gives a good guide for what to focus your attention on when you can afford building industry & rural industry!

In which case that's probably the best way in which to advance your economy!

If I had more time I'd love to do an in depth study of individual resources and the highest efficiency it would take to get resources back from investments - sadly I don't have the time ://

Like ^th said, the RoI is very similar for rural and city industries, but there IS a difference for the RC's that you also need.

Yeah start with doubles resource for both, then move on the 1 resource, and of course prioritize the resources you will use the most.