Are there any specific words for the first events and first things like the first rain, the first fruit of a plant, the first grey hairs, etc.?
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There are some very specific ones for particular cases, like primigravida which is a woman who is pregnant for the first time (by extension, a woman who has been pregnant once will still be called a primigravida until such a time as she becomes a secundigravida).
Aboriginal refers to the first people in a place (though people tend to assume things were in an unchanging state until they arrived on the scene - settlers to an area may call those they find aboriginal even if that group had in fact also displaced an earlier group).
Virgin is used in a variety of contexts, metaphorically. It most often means that something has not had its first case of something else (it comes up a lot in magical texts), but there are a few cases where it means the first of something such as the virgin pressing of oil.
Related to virgin, maiden is used of voyages of a ship, though some other uses differ - a maiden race is a race by a horse that has not yet won a race, not necessarily it's first.
Of course, there's always first itself. In particular, "first fruits" referring to the first produce of a harvest, and to festivals that celebrate them.
And many first things are harbingers of what is to come. This refers not to their being the first specifically, but of the first grey hairs, first frost of winter, etc. being harbingers of age, impending winter etc.
Yes, there are many different forms of expressions that indicate a particular event or thing that is the first of its kind.
You can simply use prefix to form specific words for the first events and first things
such as protohuman, protolanguage, protohistory, protomartyr, prototype, etc.
such as urtext, urheimat, urlanguage, urmonotheismus, urreligion, etc.
Or to describe it with an adjective, like maiden or prime as suggested by Kris
Or use a noun:
There are words to convey "before the first", such as inchoate or incipient. There is also order of precedence, for example, a precursor, which is a term in chemistry and elsewhere. Many words with "ante" as a prefix also indicate precedence though not being "first". Antediluvian (before the flood), antebellum (before the war, often referring to the U.S. Civil War but not necessarily), antecedent (a part of speech that is prior to another, among other things) or even antipasto (the meal before a main dish) all mean prior but not the very first. I would not use any of these to describe first events or first things. Other answers have provided many good suggestions, to which I would only add alpha and indigenous.