The answer depends on how far in history we are looking back. If we look back till the British rule then it can be Kolkata. Agra can be termed too if we consider the rule of Babur. Even before that Iltutmish had Delhi as his capital. But back then 'India' represented many parts of modern day Pakistan and Afghanistan as well. So to say, If we consider only the modern day India then the first capital can be pointed as Kolkata which was later shifted to Delhi during 1911.