There is no clear agreement among scholars as to which religion was the first monotheistic religion. This is partly because the candidates are from so long ago. It is also partly because it is difficult to distinguish between truly monotheistic religions that believe that there is only one god and other religions such as monolatrous religions that believe that their one god is the only god worthy of being worshipped (with the implication that there are other, lesser, gods).
The two religions that are most commonly cited as the first monotheistic religions are Zoroastrianism and Atenism. Atenism was the worship of Aten as the one true god in Egypt. It only really existed during the reign of Akhenaten in the 14th century BC. Zoroastrianism is a Persian religion. This was a more enduring religion, but its exact date of origin is hard to pin down. The link below can only place it sometime in an 8-century period.
Thus, we cannot be sure which monotheistic religion came first because of disputes about what religions are monotheistic and because of the lack of a historical record from that long ago.
Atenism was first. Its a toss up as to if Hebrew religion came next or Zoroastrianism because there is debate as to when Zoroaster (the founder lived). Some say 1000 BC so it might be older than the Hebrew faith. Atenism wasn't around long enough (about 20 years) to really be forced on the other two. Its ideals might have influenced them, but the Egyptian reactionaries which overthrew it did a good job of stamping out any sign of it.
There is some debate among scholars as to if Zoroastrianism is monotheistic or not. The modern followers of the faith would certainly claim it is.
There is a single supreme God, Ahura Mazda. He is the alpha and the omega. He has always been and will always be. The descriptions of the nature of Ahura Mazda is essentially same as Yahweh (God in English, Allah in Arabic). Your duty as creations of the one true God is to do good works. Life is a struggle between good and evil. At the end of time, Ahura Mazda will gather all the good who have ever lived to his side and destroy the wicked. Sound familiar doesn't it.
There is good reason to believe that Zoroastrianism influenced the Hebrew traditions. Certainly, the ancient Persians (Iranians) who adopted Zoroastrianism as their state religion regarded the Hebrews as kindred spirits.
When the first Persian King Emperor, Cyrus the Great, conquered Babylon, he did two things. First, he issued the first deceleration of religious freedom in the world basically saying he everyone was free to worship as their conscious dictated. It can still be seen in the British museum in London.
The second was to recognize that the Hebrews where worshipers of the one true God. Most of Israel had been conquered, and the Hebrew population had been to Babylon as slaves . He gave them back their homeland which is what is today Israel and occupied territories. In fact, when President Harry Truman supported the establishment of Israel in 1948, he would keep saying "I am Cyrus".
Shiite Muslims in Iran traditionally regard Zarathushtra( Zoroaster) as a holy prophet of Allah along with Moses, Jesus, and Mohamed. Zoroastrians are given a reserved seat in the Iranian parliament along with Christians and Jews so all sects of Allah have representation.
However, many western scholars, specially Roman Catholics, do not regard Zoroastrianism as monotheistic. This is really a matter of semantics.
In Zoroastrianism, Ahura Mazda has a great enemy called Angra Mainyu. He is a hideous demon with horns. He also sounds familiar doesn't he. Angra Mainyu's purpose is to seduce mankind into doing acts of evil. The idea is that good must be a choice made of free will. Ahura Mazda created Angra Mainyu so that people could choose to be good.
However, many western scholars interpret Ahura Mazda and Angra Mainyu as being equals. Therefore, the religion is a two god polytheistic religion. Practitioners disagree. Ahura Mazda created Angra Mainyu just as God created Lucifer in the Christian texts. Also, Ahura Mazda will eventually destroy Angra Mainyu and all who follow him on judgment day. This sets the idea of a single supreme God.