The answer is the egg
From the biological and evolutionary point of view the egg emerged first of many animals on earth (including many ancestors of the hen). In fact, the egg is the first method presented by terrestrial animals to have their children (oviparous), this being the best way to protect it from environmental conditions.
This was maintained for thousands of years until the evolutionary appearance of the viviparous (born directly from the mother's womb). The birds likewise appeared thousands of years after the arrival of the first animals on land. These evolved from dinosaurs, reptiles that were equally oviparous (they also laid eggs). Therefore, the egg appeared first than the hens.
Even if we want to see the religious aspect, it would still be the first egg, since the first animals on earth were not birds, but amphibians (equally oviparous) then reptiles appeared and followed by birds and mammals.