What was the first thing created in our solar system?

One thing that you have to do is ask yourself is this. Do people actually know which planets and stars and anything else in the universe came first? simple ans. NO because mans intelligence just do not know which star or planet came first. They can assume but cannot prove.
But I can tell you about creation. Thousands of years, people have marveled at the starry heavens. On a clear night, the beautiful stars hang like shining jewels against the darkness of space. A moonlit night bathes the earth with a beauty all its own.
Those who think about what they see often wonder: ‘Just what is out there in space? How is it organized? Can we find out how it all got started?’ Answers to these questions would no doubt help determine more accurately why the earth with its human and other life came to be, and what the future may hold.

In recent centuries astronomers who scanned the heavens with early telescopes noticed some fuzzy, cloud like formations. They assumed that these were nearby clouds of gases. But in the 1920’s, as larger, more powerful telescopes came into use, these “gases” were found to be something far more immense and significant: galaxies.
5 A galaxy is a vast group of stars, gas and other material rotating around a central nucleus. Galaxies have been called island universes, for each one of them is in itself like a universe. For example, consider the galaxy we live in, which is called the Milky Way. Our solar system, that is the sun and the earth and other planets with their moons, is part of this galaxy. But it is only a very tiny part, for our Milky Way galaxy contains over 100 billion stars! Some scientists estimate at least 200 to 400 billion.

Everything is organized. Now every planet had to be created by someone. A mere “explosion” could not create our awesome universe with its amazing order, design and law. Only a mighty organizer and lawmaker could direct the powerful forces at work so that they would result in superb organization and law. Notice what the Bible says at (Psalm 19:1) The heavens are declaring the glory of God; The skies above proclaim the work of his hands.
Instead of leaving us in the dark as to what is behind the origin of all things, the Bible tells us the answer simply and understandably. It confirms the observations of science, as well as our own, that nothing comes into existence by itself as stated in Hebrews 3:4
“Every house is constructed by someone, but he that constructed all things is God.”
This should help.