Okta doesn't have functionality like this and this could be difficult to get. Okta's log retention policy is only a few months. If you want to find out when users first logged into Okta, you would probably want to locate the log entry where they were first created, and then find the first log entry after that shows the user logging in.

If you go to the System Log in your Okta org, there's some search queries that may help in your search.

The following search query will show when a user was first created:

eventType eq "user.lifecycle.create"

This search query will show when a user logged into Okta:

eventType eq "user.session.start"

You can also combine these to see both events in the log results:

eventType eq "user.lifecycle.create" or eventType eq "user.session.start"

You can also add in another "or" with a target.id of a particular user, to see information for just that user.

The closest built-in report is the Okta Usage Report. This can be found by logging into the Okta admin console and navigating to Reports > Okta Usage Report. It will show the last login, but will not show the first login.