This question has been unresolved for years. As my mind is curious and now the information is widespread throughout the internet, I finally have an answer to the dilemma. In the internet you will find scientific articles and webpages mentioning the university, scientists, the proteins of the egg and the hen, etc. I preferred to pick up a simpler answer that now I share. For more details, go to google :)
First of all, it's important to mention that this is based on the theory of evolution. Theory even accepted by the church, at least the Catholic, but we will not enter into that debate. The hen was an evolution and not from one but from two animals: the red pheasant and the gray pheasant. When these two animals crossed, they had an egg. Until that point, we can not say that that egg was an egg from a chicken, because chicken did not exist, it was a pheasant egg (red or gray). Within the egg, the genetic evolution gave rise to the first chicken. Therefore, who appeared first was the chicken.
Now you will wonder, but the first bird came from an egg... and we return to the same paradox without answer. Not really, the egg is actually a hardened placenta. We also came from a placenta when we were born. In the evolution of birds, this placenta had to have hardened to the form that now it's an egg. So again, before the egg was the bird.