When was Christmas first celebrated?
The angels and the shepherds were the first ones celebrating Christmas (nativity of Christ), as being told in Luke 2: 13-14, 20.
And suddenly there was with the angel a multitude of the heavenly host praising God, and saying, Glory to God in the highest, and on earth peace, good will toward men. (Luke 2: 13-14)
And the shepherds returned, glorifying and praising God for all the things that they had heard and seen, as it was told unto them. (Luke 2: 20)