Herodotus mentions the three continents of Europe, Asia, and Libya (Africa) in The Histories, Book 4, chapter 45. This is from about 440 BC. He even mentions the debate on what Europe's borders actually are, so I presume the answer to your question would be it depends who you ask.

Source

http://nlp.perseus.tufts.edu/hopper/text?doc=Perseus:abo:tlg,0016,001:4:45&lang=original