This is a hard question for me to answer because my memory is so fuzzy on exactly what I got first. I played a lot of my cousin’s systems before I got my own, but my earliest systems were the NES and the Atari 7800. On the NES I played loads of Super Mario Bros. and Adventure Island - on the Atari 7800 I played Frogger, Defender and Pole Position II.
It was either Combat or Space Invaders for the Atari 2600. I think my grandmother bought both the 2600 and S.I. at once, and I’m not sure which game I played first. Combat was probably played first, though.