Sorry if this has been asked but I haven't seen the question asked here before that I know of.
What do you mean by "pets"? Animal domestication predates all written history, so by the time "history" started humans already had livestock for food and labor, dogs for guarding, hunting, herding, etc.
"Researchers analysing remains at a prehistoric burial ground in Jordan have uncovered a grave in which a fox was buried with a human"
"The cemetery, at Uyun-al-Hammam, in northern Jordan, is about 16,500 years old, which makes the grave 4,000 years older than the earliest known human-dog burial"
http://www.cam.ac.uk/research/news/was-the-fox-prehistoric-man%E2%80%99s-best-friend
There was a Russian experiment that domesticated wild foxes. Selectively breeding for docility, these foxes started changing colours and even stated barking.
hi! not discouraging other input, but fyi, you'll find some info in this section of the FAQ