Ha! Brilliant question! And I don’t know the answer, if only because people disagree what is “already” a mammal and what is still a “non-mammalian mammal relative”. I can tell you that the first mammal probably lived in the early Jurassic, about 185 million years ago when there were still lots of Dinosaurs. A close relative of the ancestor of mammals is called Morganucodon. It was tiny (shrew-size), had a small-ish brain, and had lots of small teeth for eating insects. As many of the closer relatives of mammals looked like that, there is a good chance that the first mammals also ate insects and were tiny, furry creatures.
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