5th century BCE Alcmaeon of Croton was the first to write down that the mind ("the governing faculty") was located in the brain. He was an ancient proponent of dissection and made many discoveries within the head; brain anatomy, eustachian tubes, optic nerve etc. here's a history of neuroscience link that goes into further detail.

http://www.princeton.edu/~cggross/Hist_Neurosci_Ency_neurosci.pdf

In the 4th century BCE Hippocrates, the Father of Medicine, also believed (through much experience, evidence and deduction) that the brain controlled all senses and movements. he was the first to recognize that paralysis occurred on the opposite side of the body as the head injury and was the first to theorize that epilepsy was not divine and was a problem of the brain. he wrote "it ought to be generally known that the source or our pleasure, merriment, laughter, and amusement, as of our grief, pain, anxiety and tears, is non other than the brain."