St Stephen is considered a saint and a martyr in many Christian denominations. Because St Stephen is the very first martyr of the newly founded Church of Jesus Christ, he is given the title of Protomartyr or first martyr of the Early Church.
Many consider the first Saint of the Early Church to be the Thief on the Cross after all did not Jesus himself promise the Good Thief paradise that very day.
Two men were crucified at the same time as Jesus, one on his right hand and one on his left (Matthew 27:38, Mark 15:27-28,32, Luke 23:33, John 19:18), which the Gospel of Mark interprets as fulfillment of the prophecy of Isaiah 53:12. According to the Gospels of Matthew and Mark, respectively, both of the thieves mocked Jesus (Matthew 27:44, Mark 15:32); Luke however, mentions that:
39 Now one of the criminals hanging there reviled Jesus, saying, "Are you not the Messiah? Save yourself and us."
40 The other, however, rebuking him, said in reply, "Have you no fear of God, for you are subject to the same condemnation? 41 And indeed, we have been condemned justly, for the sentence we received corresponds to our crimes, but this man has done nothing criminal." 42 Then he said, "Jesus, remember me when you come into your kingdom." 43 He replied to him, "Amen I say to you today you will be with me in Paradise." 23:39-43 - Penitent thief (Wikipedia).
In the Early Church, the voice of the people was considered enough to canonize someone a saint, Vox populi Vox Dei, the Voice of the people is the Voice of God.
Who is actually the first saint is a question only God can answer. Did St Joseph or St John the Baptist enter heaven first as a saint we may never know here on earth? Many denominations have some Old Testament Saints also.
Since the faithful of the Early Church the canonization process was rather simple, the Church in the West (Catholic Church) started to impose norms for recognized canonizations:
In the Medieval West, the Holy See was asked to intervene in the question of canonizations, so as to ensure a more authoritative decision. The canonization of Saint Udalric, Bishop of Augsburg, by Pope John XV in 993 is the first undoubted example of a papal canonization of a saint from outside Rome; some historians maintain that the first such canonization was that of Saint Swibert by Pope Leo III in 804.
Thereafter, recourse to the judgment of the popes was had with greater frequency. Walter of Pontoise was canonized by Hugh de Boves, the Archbishop of Rouen in 1153; Walter was the last saint in Western Europe to have been canonized by an authority other than the pope. "The last case of canonization by a metropolitan is said to have been that of St. Gaultier, or Gaucher, abbot of Pontoise, by the Archbishop of Rouen. A decree of Pope Alexander III, 1170, gave the prerogative to the pope thenceforth, so far as the Western Church was concerned."
In 1173, after reprimanding certain bishops for having permitted veneration of a man who was far from holy, Alexander III decreed: "You shall not therefore presume to honor him in the future; for, even if miracles were worked through him, it is not lawful for you to venerate him as a saint without the authority of the Catholic Church."
The procedure initiated by the text of Alexander III, confirmed by a bull of Pope Innocent III in the year 1200, issued on the occasion of the canonization of Saint Cunegunde, led to increasingly elaborate inquiries. - Canonization (Wikipedia).
Although St Stephen is considered the first martyr of the Early Church, the Holy Innocents are considered the first martyrs of the New Testament.