From a Christian perspective, the belief is that the one true God, as revealed in the Bible, has always existed and is the source of all creation. While specific organized religions may have developed later in human history, Christianity holds that humanity's relationship with God began from the earliest moments of human existence.
This relationship evolved over time, culminating in the revelation of God's plan for salvation through Jesus Christ. Therefore, in Christian belief, there is no distinct "first religion" apart from the acknowledgment of humanity's innate connection to God.