I guess I've actually had 3 first "horses". LOL
My very first mount was a 34" tall mini-burro named Olen. He and I were both 3 years old when we started riding together. He's now 28 and still happily living in my pasture. This summer, he will be going to live with my brother for a while and he's going to be my youngest niece's first mount too. She's also about to turn 3. I jokingly told my brother when he asked about taking Olen "Only a **** donkey could survive raising 2 generations of Robertson kids" LOL.
Then, my first actual horse was my Dad's 16hh, 1500 pound outlaw roping horse named Buck. I was riding him sporadically at 4 and by the time I was 5, I was riding him all the time because my brother had gotten a new horse (who can be seen in the background there). Unfortunately, both of them are buried in our pasture now. Buck we lost in '01 and Sis (the sorrel) we lost in '09.
But, my first horse that was technically, 100% all mine and nobody else's was Denny. I trained him when I was 14 and we went a lot of miles together.
He's 18 years old now and retired out in my pasture. Just for grins and giggles the other day, I jumped on him with nothing more than an old hay string around his neck. Hadn't been on him in over a year and he still rode the same as he ever did; hot and chargey and obnoxious...but completely obedient LOL.