If we take what we know from the Source, the first immortal would be way older than Methos. Because Methos is almost 5200 years old (see: reunion) and the Elder was an immortal searching for the Source 10,000 years ago. That would imply that immortals fought and beheaded each other long before that event, just to justify the accumulation of knowledge needed of the Source (which could then be lost due to described events).
If however we take other rules into account (no fighting on holy ground), we could argue that, if those rules were active from the beginning, certain qualifications have to be met. Therefore he or she is unlikely to be a million years old. The oldest known evidence of human burial (and with that possibly a sense of higher powers) are roughly 300,000 years old. That would put the first immortal in the Neanderthal time frame. (This was hinted at in 'the beast below' episode of the Highlander TV series as well). So between 200,000 BCE to around 40,000 BCE but probably closer to the latter than the former.
When do you think immortality manifested?
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