The first martyr was Stephen, as told in the Book of Acts, chapter 7:
“When they heard these things, they were cut to the heart, and they gnashed on him with their teeth.
But Stephen, being full of the Holy Ghost, looked up stedfastly into heaven … And said, ‘Behold, I see the heavens opened, and the Son of man standing on the right hand of God’ …
They cast him out of the city, and stoned him: and the witnesses laid down their clothes at a young man’s feet, whose name was Saul …
Stephen, calling upon God, and saying, ‘Lord Jesus, receive my spirit.’
And he kneeled down, and cried with a loud voice, “Lord, lay not this sin to their charge.'”