No, the Milky Way is not the first galaxy ever formed since the Big Bang. The formation of galaxies began several hundred million years after the Big Bang, which is estimated to have occurred around 13.8 billion years ago. The process of galaxy formation is complex and involves the gravitational collapse of regions within the early universe that were slightly denser than their surroundings.
Based on our current understanding of cosmology, the universe went through a period of rapid expansion known as cosmic inflation in its early stages. As the universe expanded and cooled down, matter started to clump together under the influence of gravity. These clumps eventually grew in size and became the seeds for the formation of galaxies.
The Milky Way is just one of billions of galaxies in the observable universe. It is believed to have formed around 13.6 billion years after the Big Bang, making it a relatively latecomer in cosmic history. Galaxies that formed earlier in the universe's timeline have had more time for their stars and structures to evolve and develop.
It's worth noting that our understanding of galaxy formation and the early universe is continually evolving as new observations and theoretical models are developed. Ongoing research and advancements in observational astronomy and cosmology help us refine our understanding of the origins and evolution of galaxies.