Hen comes first. We can prove it with the following reasons:-
The protien in the egg can only be secreted by hen. According to evolution reptiles evolved into aves(birds). As hen belongs to class aves it got evolved from a reptile, it didn't come from any egg.
Hence, Hen came first not egg.
What I gave written in scientifically proven
Hen because if the egg come in the world first no one have to care of it and the egg need much care only hen is able to take care of his egg he sit in his egg for 21 days to protect his egg from cold