There have always been UFOs in the strictest sense of the term - that is, things in the sky that are unidentified. If you are asking, have there been things flying about in the sky that were IDENTIFIED as extraterrestrial before the early 1900s, the answer is generally no. The following excerpt from my draft Introduction to Folklore may help:
Pilots during World War II described a series of unusual apparitions that people sometimes jokingly said were supernatural. They called phantom lights in the sky “foo-fighters,” and disappearing tools and quirky failures of machines became the work of “gremlins,” although the latter date to at least the 1920s. The unusual circumstance of some of these phenomena attracted attention. In the late twentieth century, the sightings of UFOs – “Unidentified Flying Objects” – became common, and they have also become part of folklore.
After the war, interpretations of the odd things in the sky focused on terrestrial, technological explanations, but beginning in the early 1950s aviator and author Donald Keyhoe (1897-1988) began writing about the idea that these atmospheric sights were, in fact, evidence of alien visits. Following the lead of literature, the belief in alien visitors became a cornerstone of modern North American folklore. As has happened for centuries, the interplay of literature and oral tradition continues. While the belief in these creatures is widespread internationally, it was not universal. In 1982, I was interviewing an Irish woman who had seen banshees and believed resolutely in the fairies of Ireland. When I asked if she believed in UFOs, she answered, “Oh, that’s what you Americans believe.” She then laughed derisively.
In fact, aliens have taken the place, in many respects, of the supernatural beings of nature. The modern “little green men” abduct people, fly around in the night, and leave rings in fields. The similarities shared by elves and aliens could be the result of two causes. They are either due to transference of older motifs to the newer idea of aliens, or they are a new interpretation applied to similar, unusual phenomena, resulting in a parallel tradition. Both factors may be at play at the same time.
It is clear that people apply extraordinary explanations to things that are not easily understood. If a person believes in elves, then the rush of something unusual across the night sky, a brown circle in a field, or the unexplained disappearance of someone can all be attributed to the supernatural owners of nature. Even as the modern, technological, literate society extinguishes the belief in fairies, it simultaneously opens the door to the idea of space flight; people in this modern world can imagine extraordinary travelers whose abilities make them nearly supernatural. It is easy, consequently, to look to aliens to explain extraordinary things that seem beyond our ability to comprehend with more normal explanations.
edit: I realize that this point of view may offend believers in extraterrestrial visitors, but it is not meant in any way to pass judgment. People draw conclusions about their world based on the information and assumption they have. Some assumptions may prove valid; a folklorist simply finds it of interest to examine the assumptions people make about their world, but the examination is made without passing judgment on the validity of the assumptions.
hi! you might be interested in checking out some previous threads on UFOs in the FAQ (link on sidebar)
This is a fairly frequent question and /u/Searocksandtrees posted a great collection of previous answers a few months ago. Hopefully you'll find the answer you were looking for in there!
Edit: There was also a discussion in /r/AskAnthropology a couple of weeks ago that you might find interesting.
Absolutely. Stothers, R., 2007: Unidentified flying objects in classical antiquity. Classical J., 103, 79-92. (PDF) is the best reference on this subject:
A combined historical and scientific approach is applied to ancient reports of what might today be called unidentified flying objects (UFOs). Many conventionally explicable phenomena can be weeded out, leaving a small residue of puzzling reports. These fall neatly into the same categories as modern UFO reports, suggesting that the UFO phenomenon, whatever it may be due to, has not changed much over two millennia.
You may also be interested to know about the Mystery Airship reports of the late 1800s. This is the first "modern" wave of reports, and it is thoroughly documented in newspapers of the era. But interstingly it didn't really connect with popular culture. And for another more or less random example, here's a nice piece on historical reports from Australia (from 1770-1930). There's even a tiny blurb from Nature published in 1879:
A small black cloud on a clear day appeared in the east travelling not very swiftly towards the northwest, which burst into a ball of fire with an apparent disc the size of the full moon, blood-red in colour; It left a train of black or dark-coloured vapour across the heavens which was visible for three-quarters of a hour. No sound was heard, sky perfectly clear, and the thermometer, 100F, in the shade.