It may literally be En Sabah Nur's name, but it's something of a misnomer. Technically he isn't "the first one" - there's another mutant who's got him beat who has him beat by a good few centuries.
Apocalypse has been about for five thousand years, but Selene Gallio has apparently been active since at least 10,000 BC. And we have to say, she's looking pretty good for her age! That's probably owing to her being a "psychic vampire" who literally sucks the life out of other people so that she can keep on living and looking like a spring chicken, even though she's hung out with Conan The Barbarian and Julius Caesar. Two totally old and totally real historical figures.
Claiming to have already been old when mankind was just getting started, Selene was born 17,000 years ago and began her life by controlling her entire tribe and forcing them to sacrifice their lives so that she could feed. From that auspicious start she was active during the Hyborian Age (before any recorded civilizations), when Conan The Barbarian and Red Sonja were said to be up to all their sword 'n' sorcery shenanigans.
She settled in Rome at the height of their empire, where she turned a guy into a vampire and then had him buried for 700 years, because anyone immortal in X-Men comics has to do a spell where they're undead and buried. For centuries she was trapped in the the Amazon in the Romanesque town of Nova Roma, worshipped as a goddess but never allowed to leave for reasons that were never really explained. Then the young X-Team New Mutants showed up, fought her and chucked her into a volcano, which was pretty harsh.
Eventually her worshippers dug her out and removed the curse that kept her in Nova Roma, she got to New York and joined long time X-Men villains/leather fetishists the Hellfire Club to get her revenge. She's also one of the few mutants lucky enough to keep their powers after the aforementioned M-Day, when 99% of the population had their special abilities "cured".
So not only has Selene been around for 17,000 years and has still got a few good years left in her so unless some enterprising writer can conceive of someone even more ancient? She is undoubtedly the oldest X-Man ever.