A few thousand years ago there occurred a series of cosmic disasters which left our own planet as the only generally habitable place in our solar system. Prior to that other parts of our system had been inhabited by a space-faring civilization and we find evidence of that on Mars, Phobos, Iapetus, our own moon, and other places.
At present any visitor would have to come from the stars and that (travelling inter-stellar distances) is sufficiently difficult to do that we assume it doesn't happen. It would at least require vehicles of sufficient size that we would easily detect them.
Reports of UFOs began around 1946 - 1948 i.e. at the time when people flying around in piston-engined aircraft at 200 mph first started seeing jets go by them at 500 - 550. Those included US-made craft as well as advanced Nazi prototypes which had been captured.
The first person called to Roswell NM was Werner Von Braun, who was no more of an expert on alien technology than you or I would be, but who was THE expert on Nazi technology. His presence indicates that the question or problem to hand involved Nazi technology and not space alien technology.
>>Reports of UFOs began around 1946 - 1948><<
The First Recorded UFO Sighting - a Rock Carving!
The first recorded ufo sighting I have found so far dates all the way back to about 47,000 years ago. On an island in the Hunan province of China, there appear cylindrical objects (cigar-shaped spacecrafts) and their wierd, possibly extraterrestrial, occupants carved into a granite mountain and some rocks. I can’t find a picture of the carvings for the life of me. If somebody knows where I can find one, let me know.
The First Written UFO Account - Ancient Egypt
As mentioned before, there are several other candidates for the first written account which can probably be assigned to ancient Sumerian texts, but this one I find more along the lines of an unknown object in the sky. It was found on Egyptian papyrus during the reign of Thutmose III - 1504-1450 B.C.:
In the year 22, of the 3rd month of winter, sixth hour of the day...the scribes of the House of Life found it was a circle of fire that was coming in the sky.... It had no head, the breath of its mouth had a foul odor. Its body one rod long and one rod wide. It had no voice. Their hearts became confused through it; then they laid themselves on their bellies.... They went to the Pharaoh...to report it. His Majesty ordered...[an examination of] all which is written in the papyrus rolls of the House of Life. His Majesty was meditating upon what happened. Now after some days had passed, these things became more numerous in the skies than ever. They shone more in the sky than the brightness of the sun, and extended to the limits of the four supports of the heavens.... Powerful was the position of the fire circles. The army of the Pharaoh looked on with him in their midst. It was after supper. Thereupon, these fire circles ascended higher in the sky towards the south.... The Pharaoh caused incense to be brought to make peace on the hearth.... And what happened was ordered by the Pharaoh to be written in the annals of the House of Life...so that it be remembered for ever.
(Brinsley Le Poer Trench - The Flying Saucer Story, Reader’s Digest - Mysteries of the Unexplained)
http://www.theastralworld.com/aliens-ufos/first-ufo-sightings.php