I started an interesting book about this very subject. God - A Human History by Reza Aslan,. I haven't gotten very far in it, and I'm running on fumes right now so kinda in brain fog, but it presents some good idea and evidence for them.

The first religion(s) were most likely a type of pantheism/ancestor worship. Anthropomorphizing things like storms, lightning, wind, the sun, volcanoes. Probably even trees, brooks, rivers, etc. And death had to be much more frightening early on (& for many it still is, hence one of the reasons religions hang on), so where did the dead "go"? Did they stay around to watch us? Did they try to still guide the tribe? Did they team up with the "nature beings/gods" or is that what they became? Having no answers to the fundamentals of what was happening around them, stories arose to try & answer these things. Some, obviously, were better storytellers, & found that they could acquire an advantage with their people spinning certain "explanations". Ta-Da! Religion is formed!

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The first religion is created by some delusional people who need medical attention and financed for the shrines by greedy fat people.

It was probably a tribe way before writing when humans first became self aware

If the question is what current religion was first, that is a separate question, I suspect Hinduism. No idea how old. But there were certainly older religions. Archeologists have found many many artifacts appearing to be religious that were made by unknown peoples.
There was a fascinating theory of consciousness evolution put forward by Julian Haynes in his 1976 book on the "bicameral mind" that received broad attention at the time. It says the bicameral structure of our brain's facilitated widespread experience in earlier humans of hearing voices as distinct and separate from our own thoughts. People originally all had very personal, individual "gods" that they listened to and obeyed. Not til roughly 3,000 years ago did many humans develop introspection and the ability to process differing internal perspectives as being all part of our own consciousness. Along with that came the sensation of free will. Still today, as much as 10% of people hear voices as some time or other. If this idea of Haynes is true, religion then arose as leaders--cheiftans, tribal leaders, and kings, decided their own inner "gods" would serve as the gods for all the people. The Bible is actually ripe with references hinting at these ideas.

I'm no expert on this subject, but can't help but think and comment on postulating "Sun worshiping" as the first widespread belief. Would be interested in Syfacer's thoughts on this...

Long lost in pre-history, I guess that Neanderthals had some form of religion, they kept the remains of dead relatives in the back of their caves, and covered them in flowers, (probably for the smell). Language would be the key factor in growing a religion, otherwise it wouldn't spread far.

Hinduism or whatever it was called way back then is the oldest of the major world religions today.

I think Zoroastrianism is considered the oldest organized religion still practiced today. At one time it was the most popular religion in the world. Now, only a few thousand people are followers. The Yezedis, of northern Iraq, are very ancient. Most people don't know that the Yezidis are their own religion and not from the Hebraic tradition.Hinduism is very old. What the first religion was, that is in pre-history, no one knows. I happen to believe there is a commonality in all religious belief which stretches back to the beginning of humankind.

Considering there are folk religions, then I doubt you could answer that question.

I’m sure no one alive today knows what the first religion was.

Of the big 3 doesn't Judaism come first?