There was no first person to escape, there were people who survived the war with the machines and were never "in the matrix" to begin with. You should check out The Animatrix.
MORPHEUS: When the Matrix was first built there was a man born inside that had the ability to change what he wanted, to remake the Matrix as he saw fit. It was this man that freed the first of us and taught us the secret of the war; control the Matrix and you control the future.
At the end of the second movie we learn that this is a creation myth, that Zion is actually part of the larger system of machine control over humanity, and that it needs to be "restarted" periodically. The problem is choice.
I think people who never got captured didn't know that the matrix could be changed, so they just hid from the machines. Then someone figured out that the matrix could be controlled, and the fight to free all began. I think the "freed the first of us" means "freed to believe that the matrix could be defeated".