Large telescopes have allowed astronomers to observe galaxies that formed as early as 850 million years after the big bang. We predict when the first star that astronomers can observe (i.e. in our past light cone) formed in the Universe, accounting for the first time for the size of the Universe and for three essential ingredients: the light travel-time from distant galaxies, Poisson and density fluctuations on all scales, and the effect of very early cosmic history on galaxy formation. We find that the first observable star is most likely to have formed 30 million years after the big bang (at redshift 65). Also, the first galaxy as massive as our own Milky Way likely formed when the Universe was only 400 Myr old (at redshift 11). We also show that significant modifications are required in current methods of numerically simulating the formation of galaxies at redshift 20 and above.