Realizing that finding evidence of hair anywhere in the fossil record is dicey, is there any evidence on when hair first appeared, possibly in the Permian mammaloid reptiles?
Unfortunately, the oldest evidence we actually have of preserved hair is from the Paleocene (~55-65 million years ago), which doesn’t really help shed any light on its origins. It is thought to have evolved as long ago as about 210 million years ago, during the Triassic, which would, of course, coincide with the appearance of the earliest mammals. We don’t know for certain, though, when it may have actually first appeared.