It's not possible to pin point an exact date, but the advent of ceremonial burial in the archaeological record is commonly taken as an indication of a belief in sanctity surrounding death which in turn points to a belief in an afterlife. Clues include remains being preserved through processes such as mummification, corpses being orientated or positioned rather than simply disposed of, corpses being interred in special sites such as artificially created mounds and corpses being buried alongside grave goods. There's quite a few possible but highly contested candidates in the early Palaeolithic, but the convincing examples don't arrive until the middle Palaeolithic. This is when modern humans appear, but ceremonial burial is not necessarily limited to them, there is growing evidence that Neanderthals also practised it.

http://news.nationalgeographic.com/news/2013/12/131216-la-chapelle-neanderthal-burials-graves/ http://www.nature.com/nature/journal/v338/n6218/abs/338756a0.html

If you want more info check out /r/archeology and /r/anthropology as this is a prehistory rather than a history question strictly speaking.