Not the first ones, during the bronze age.
Out of curiosity, I did a quick search because I knew they definitely used iron. Various sources say that the Romans could create a type of steel by hammering out as much of the impurities as they could from iron and then leaving the iron in the furnace, which exposed the iron to the carbon in the furnace. This process created carbon-rich iron (steel) which they would then hammer weld to carbon poor iron. This sandwich of metals had the hardness of steel to keep an edge, while the softer iron prevented the blade from shattering when impacted.