Is it correct to use Mr/Mrs with a first name?
This is very common and proper in the southern United States. It is most often used by children speaking to adults they know well such as neighbors, friends' parents, more casual teachers, etc. Usually the adult will signal his or her preference on how to be addressed. Sometimes an adult (for example some teachers) will introduce themselves as Mr/Ms last name instead, which is also fine and wouldn't usually raise eyebrows.
It's also not uncommon for adults to use this construction between themselves. I've seen it when there's an age difference or a social status difference, but when using Mr/Ms last name would be too formal and distant sounding. Eg you see the elderly lady that's lived next door for years across the fence and say "Hi Ms. Diana!" Eg the younger person behind the register at the grocery you always go to says "see you next week Mr. Bob".
As Mr. England's post indicates, common usage dictates the rules, not the other way around. And in the South, this is very common and accepted. It can be a bit rude (or at least stiff and standoffish) not to use this construction if the adult being addressed prefers the first name.
Full disclosure: I grew up in southern Louisiana, but from what I've seen and heard, this is common to much of the southern US.
We get into all sorts of difficulties when we consider whether this or that word or expression or construction is 'correct'. It's much more helpful to consider whether it's used, how widely and on what occasions. The address Mr John Smith is certainly found, but I take it your question is about whether it's possible to say or write Mr John. The answer to that is that it all depends. I can think of no circumstances in which I would do so myself, but I have been addressed as 'Mr Barrie', by those whose first language wasn't English.
Perhaps we could help you more if you said where you have seen or heard Mr or Mrs + first name.
The OED defines Mr (my emphasis) as:
A title prefixed to the surname or first name of a man without a higher, honorific, or professional title, or to any of various designations of office .
The OED also reminds us that:
In 19th century use, when Miss was prefixed to the surname alone, e.g. Miss Smith, it normally indicated the eldest (unmarried) daughter of the family; in referring to the others the forename was employed, e.g. Miss Ethel (Smith).
Mrs is not recorded as ever having been followed by a given name.
Short answer: no. I teach English in Poland and I hear this all the time as it is L2 interference from the Polish use of "Pan [first name]". No native speaker teacher of my acquaintance would accept "Mr John" as being correct and I don't either and I have never heard a native speaker say this (British English).
This seems to have been in British English up to the Victorian era (perhaps later) as a way to avoid ambiguity when talking about members of the same family, who have the same last name. A younger family member would be addressed with an honorific and his or her first name.
As an example, Arthur Conan Doyle's short story "The Reigate Squires" (1893) includes two characters named Cunningham, a father and son. The father is addressed as "Mr. Cunningham," but the son is referred to as "Mr. Alec Cunningham" or just "Mister Alec."
I would say the answer is yes, but the only time I hear it is from children addressing an adult in a setting where there is a combination of showing respect (hence the honorific) and at the same time familiarity (hence the first, not last, name).
The best example is a children's Sunday School class: I know a "Mr. Joe" who goes by that name because he's been teaching SS forever, so there is a whole generation of people who call him that, even as adults, since they can't drop the habit.
Mr. is most typically used with either the man's last name alone, or last name and selected other parts of the name. But that is for polite society. In everyday use, it is often appended to the front of a simple first name to lend a small air of seriousness or respect to what otherwise would be a casual use of the first name alone. You particularly hear this with teachers.
The correct way to use Mrs. is to follow it with the husband's name. So if you are referring to the wife of Fred Marks, the title would be "Mrs Marks" or "Mrs Fred Marks", but never "Mrs Anne" (or, heaven forbid, "Mrs Anne Marks").
That is a bit awkward (not to mention the uncomfortable social implications), so a lot of folks these days prefer to address women with Ms., a title that is used just like Mr., and carries no implications of knowledge of past, present, or future marital status.
To save you from finding out the hard way, I should also mention that there are some women who have very strong opinions on the Mrs/Ms address to use for them. To make matters more confusing, some of the former camp nonetheless expect you to use their "Mrs." in the same manner as the modern "Ms."
Other answerers have noted that the form Mr. [First Name] is especially common in the U.S. South and as a way for children to address adults who aren't related to them. But I don't think that anyone has pointed out that Mister [First Name], Miss [First Name], etc., were a standard way for African American slaves (and later, servants) in the South to address their masters (and later, employers).
In its heyday, the form was used even when the master (or member of the master's family) was much younger than the slave. It served as a sign of respect for and subordination to the more powerful person in the societal hierarchy, so it unavoidably included an element of reinforcement of the existing social order.
Much later, the epithet Mister Charlie (as in James Baldwin's 1964 play Blues for Mister Charlie) emerged as a mocking way for African Americans to refer to a white man—a kind of bitter invocation of the old subservience. Harold Wentworth & Stuart Flexner, Dictionary of American Slang (1960) notes this usage:
Mister Charlie A white man. Some Negro use.
Just because a form of address has unfortunate associations with an oppressive past doesn't mean that people who use the form today are nostalgic for that past or are aware of any vestiges of the form's old meaning that may remain. But I wouldn't care to call someone Mr. [First Name] or be called Mr. [First Name] by someone, because I don't like the lack of reciprocity inherent in its form.