Basically a pocket knife that folds and has a locking blade doesn't seem that complex, so I wonder what the first one was.
Depends on what you mean by locking. The modern Opinel (http://www.opinel-usa.com/collections/opinel-outdoor-knives/products/opinel-no-8-carbon-steel-folding-knife) is about the simplest you could make and there have been folding knives similar to this for thousands of years. Also most folders historically did not lock open as we think of it today with a mechanism preventing the blade from closing without disengaging that mechanism. The oldest one we have found dates from about 500-600 BCE in Austria. Though that's not to say there weren't any earlier since historically they were quite simple like the Opinel, just a carbon steel/iron/bronze blade in a wood handle with a slot and pivot to open, but that also means these tools biodegrade quite quickly after being discarded or what it also likely is that the handle was discarded and the blade reused in other materials or blades. Good metal wasn't so quickly thrown away in those days. So its reasonable to assume that humans have been making those types of knives before then, we just cant really say exactly when.