The first documentary's were shown in 1895 when the first films were shown, film was invented by the Lumiere brothers; they created a camera which could only hold 50 feet of film stock and their films were short clips which had not been edited at all, they recorded themselves in their own personal lives and they called them 'Actualities'.
The most famous film they ever created was the 'Un Train Arriviee', it was created in 1895 and the film footage was just a train pulling into a station, the reason it became so famous was because the audience were so amazed by the fact they could see moving images for the first time and how they could evolve.
The first documentary of the kind we see today was created in 1922 by Robert Flaherty, the documentary was called Nanook of The North; it was about the life of an Inuk which was called Nanook, they follow his family around as they search for food and drink and get on with their ordinary lives. The word documentary originates from this film, John Grierson described it as a 'documentary' and 'the creative interpretation of reality'. Flaherty had made sure that a lot of the scenes in documentary were staged so the audience would find it more interesting and dramatic.