Star Wars has depicted a shockingly small percentage of its gargantuan overall history, choosing to describe many of its largest events in opaque terms. Despite the huge gaps, learning about everyone's favorite galaxy far, far away still holds tons of interesting ideas that may never make it to the big or small screen.
Jedi or some equivalent have been among the protagonists of every major Star Wars project since the series' beginning in 1977. Unfortunately, there was a schism in the narrative that occurs when Disney purchased the brand in 2012. This means that most of the deeper lore, anything outside the movies, shows, and modern games, has been declared non-canon. Some of that information, which is referred to colloquially as the Legends continuity, may eventually enter the proper canon, but some of it is likely to vanish as much of it already has.
The history of the Jedi is long and winding, especially with the possibility that it's all out the window with the upcoming projects. Finding the first Jedi Knight must first beg the obvious question; what is a Jedi Knight? While the term is the most commonly known throughout the galaxy and the one many denizens would apply to any Jedi, it does have a specific meaning. Basically, a Jedi Knight is a full-fledged member of the Jedi Order. They've put in their time at the Academy, served as a Padawan under an established mentor, and completed the Jedi Trials. Jedi Knights begin the work of keeping the peace and enforcing justice at the behest of the Council. It's that specification that makes it hard to determine exactly who the first Jedi Knight is.
The Legends continuity tells the story of the original formation of the Jedi religion and the resulting Jedi Order. It evolved from another religious order which preached balance between the light and dark sides of the Force. Those who followed the dark broke away, as did those who followed the light. The latter, through several new evolutions, became the Jedi that fans know today. The Jedi Knight terminology evolved as Jedi were brought into the fold of the Galactic Republic as peacekeeping agents. This loose band had little in the way of rules or order, they followed the will of a single Jedi Master who acted as the leader. Upon completing their assigned task, the Master would appoint them a Jedi Knight. No name is given to the first person to achieve that rank, leaving that an open question.
2011 video game Star Wars: The Old Republic offered a sort of answer to the central question, offering not one, but four first Jedi Knights. A mission in the MMO leads the player to investigate the Jedi homeworld of Tython, where they find an ancient hologram depicting the early figures. Cala Brin, Garon Jard, Ters Sendon, and Rajivari are the four founders of the Jedi Order, and logically, the four first Jedi Knights. Each represented a key aspect of the faith and practice. Brin preached setting aside emotions to better pursue justice. Jard spoke of pacifism and believed violence should always be a last resort. Sendon was a scribe who believed in carefully maintaining the group's history. Finally, Rajivari founded the Jedi Archives but later became the first Jedi to turn to the Dark side. This group established the Order, but the franchise barely depicted them before they were likely declared non-canon the following year.
The new Disney canon differs somewhat from this explanation, but could still turn back towards it. Episode VIII: The Last Jedi introduces a new starting point for the Jedi Order, the temple on Ahch-To. Fans would recognize Ahch-To as the waterlogged planet where Rey finds Luke Skywalker after his long exile. The home planet of porgs is also home to an intricate stone monument that offers a tease towards the new answer to the question. Inside the original Jedi temple lies a monument that further works describe as the "Prime Jedi". The new continuity refers to this Prime Jedi as a singular being, rather than the quartet that the game lays out. The identity of the Prime Jedi is unknown but as the source of the Order, surely they would claim the role of the first Jedi Knight.
The Tao-inspired symbolism is the closest thing the modern continuity has for a first Jedi Knight. The Prime Jedi may be a metaphorical role or a single symbol that applies to multiple people, perhaps even the four of the previous story. Star Wars has yet to depict anything as distant as the series' past, but this Prime Jedi could eventually be the answer to this question. Despite the franchise's focus on the Order, there is still so much about the history of the Jedi that fans will still have to wait to find out.