My first fish on a fly rod was a small rainbow caught from the Current River in Missouri. I had fished for trout since I was about 6, but never with a fly rod.
I caught that first "fly rod fish" on a #18 BWO. I was moving upstream from one hole to another when I saw some splashing in a very narrow, shallow run.
Since the water was pretty skinny, it was moving pretty quickly. I couldn't see any trout in there, but the splashing caught my eye.

I waited and observed for a few minutes...and sure enough, there were some trout rising. I could see some small gray bugs flying about so I figured a BWO was the closest thing I had. I tied it on and had a strike immediately. I have a picture of that little fish somewhere. It was no great fish by any means. But it was my first with a fly. I was probably hooked better than that little rainbow was.