While this 1857 ambrotype of John Steiner's balloon preparing for an international crossing from Erie, Pennsylvania to Canada is the first known photograph of a flying machine, Steiner's was not necessarily the first balloon.
Still, kind of awesome.
FWIW, Steiner had to bail out over Lake Erie in dramatic fashion. His balloon made it to Canada and was found some time later.
The Smithsonian has the story--and the photo, which is on display at the National Air and Space Museum.