It's hard to pin point. Cave men found away. Sooo that's a time in history...lol this question did make me giggle. Funny question. Lol
The ancient Egyptians, Greeks, and Romans all had forms of what we know as underwear. We can assume from this that they were not the first, but definitely the first recorded. It continued to evolve over time according to social dictates and technology.
Hope that helps-
A Costume Designer
Hope that helps-
A Costume Designer