The New Testament attributes the claim that Jesus is the Son of God to various figures:
* God the Father: At Jesus' baptism (Matthew 3:17, Mark 1:11, Luke 3:22) and the Transfiguration (Matthew 17:5, Mark 9:7, Luke 9:35), God's voice from heaven declares Jesus to be his Son.
* Jesus himself: While Jesus doesn't always explicitly state "I am the Son of God," he speaks of God as his Father in a unique way that implies this relationship. He also accepts titles like "Messiah" or "Christ," which were understood by some to mean Son of God.
* Various Individuals:
* John the Baptist: (John 1:34)
* Nathanael: (John 1:49)
* Peter: (Matthew 16:16)
* Demons: (Matthew 8:29, Mark 3:11, Luke 4:41)
* A Roman Centurion: (Matthew 27:54, Mark 15:39)
Therefore, there isn't a single "first" person. The claim appears early and is made by multiple people and entities in the New Testament narrative.