First Proof Coins

I know for a fact that Proofs have been made in England at least as far back as 1716 and were made every so often throughout the eighteenth century. In fact, I think that a lot of proofs were made since many silver pennies from the 18th century go for $40-$60 in proof.

"The Expert's Guide to Collecting & Investing in Rare Coins" by Bowers says that it appears these started in either 1816 or 1817. In the 1820's the process got better and the surfaces smoother. He has a pretty extensive chapter on collecting proofs.

Sure, proof sets from the 1800s still exist, although many of them are not original sets. Prethen even has one from 1870. Most of the proof sales from the 1800s were individual coins and not sets so many of the full sets around today were assembled from individuals much like Prethen's set. Even some of the sets that are mostly original have had a few replacements over the years. The most famous complete set, the King of Siam set from 1834, had the Half Dime and gold Presidential medal lost to the ages and then replaced in the 60s when the set was "rediscovered". As far as the history of the first US proofs, this auction from Heritage should provide some info.