The U.S.A. with my mother and grandmother. I must have been about 3 at the time. My gran wanted to visit her eldest son (my uncle) in the States, and didn’t want to go alone (she didn’t speak too much English). She asked my mum to go with her, and mum didn’t want to leave me, so off we went. I remember flying on Air India and not wanting to eat the food they served on the plane, so they pretty much on the spot made me up a lentil curry and rice. Not much chance of that happening now.
I’m Canadian, and the US is the only other country I’ve ever been to. The first time was in 1962, when my mom and granparents took me to Fantasy Island in Grand Island, NY.
I think I’ve got claim to the youngest so far 
…Ireland for a cousin’s christening, when I was about two weeks old.
Vietnam.
At the time I thought this was way cool, and I was being incredibly adventurous when everybody else goes to Disneyland or skiing in New Zealand - and I suppose it was, but not as cool as all that in hindsight (it was already opening up a fair bit), but the most amazing “first country” experience I’ve seen wasn’t mine, but that of my ex-wife. This was quite fun to watch - we went to Hong Kong, and she is from a Chinese family but born in Vietnam, and then emigrated to Australia. This meant that she had never been in a place where her mother tongue was the official language (she’s a Cantonese speaker first, Vietnamese second, and English third). I tried to get my head around that - imagining being taught English at my mother’s knee in, say, Germany, then moving to Spain, and then aged thirty-something, going to an English-speaking country for the first time. It was funny to watch her in Hong Kong - any excuse to ask directions or anything and she’d jump at it. And sometimes we weren’t even lost!
When I was about 6 months old, my parents flew to France with me to visit my father’s family.
My first foreign country on my own was driving to Canada during the summer of my junior year in college. Crossed the border at Caribou, ME, through New Brunswick, around the Gaspe Peninsula, across the St. Lawrence by ferry, do a loop around Lac St. Jean, then finishing with the return home from Dalbou to Boston in one day. All in a '90 Ford Festiva.
USA (from Canada). It was a road trip to South Carolina when I was around 5 or 6. I don’t recall much about the trip except there was hot sand on the beach, southern accents on the hotel staff, and there was a parade wherein the Big Boy mascot (a frankly creepy overweight kid with cowlick hair and red & white-checked suspenders) was tossing out all manner of little trinkets to either side of the road. I got a big plastic ring.
When I was six, we went to Niagara Falls and went on the Maid of the Mist boat tour which technically went into Canada. Since then I’ve been back to Canada a few times, been to Italy (and the Vatican), UK and Iceland.
Like Captain C said, lots of people from border states drive to Canada as soon as they reach that country’s drinking age. That was my first trip out of the country at age nineteen with a bunch of friends from college.
Drinking age is 18 in Mexico, too, or at least it used to be. I believe when Texas returned its drinking age to 21 from 18, Mexican border bars experienced a sudden boom. I’m sure it was like that for Canadian border bars when the northern states raised theirs to 21 again, too.
While we didn’t live that close to the boarder, the first time I went to a foreign country it was the reverse of your trip. We started in Glacier and drove north for part of a day.
(Later I moved east, and we took several people to Canada for their first foreign country at Niagara Falls.)
Japan, when I was three and four.
To Canada, from the USA. Four years later France, and then a long string of annual trips for various reasons: Germany-Austria-Italy, France-Switzerland, Russia, and Denmark-England.
Nobody’s sending me anywhere this summer, though. sniffle.
Australia, aged 14, with my mother, to visit my sister who’d emigrated seven years previously.
The first foreign country I visited on my own was France, three years later.
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UK, just about 3 months ago 
Boss and I spent most of the week in Leicester on business, but we got a little time to explore London, too. I’m ready to go back.
Mexico, right after Navy boot camp…next, Tangier Morocco, compliments of USN…after that too many too mention, again compliments of the USN
Living in Canada, the USA was technically my first, but I don’t really count it.
Hong Kong overnight then Singapore is the one I think of really.
Canada at eleven or so. Of course, growing up within a dozen miles of the border, it really didn’t seem like a foreign land. We even had a good quantity of Canadian coinage in circulation. It was quite surprising to me years later in another state when I found that Canadian coins were given the same treatment that any other foreign coins receive.
The first real foreign land, far from home: Brazil at 25. Strange that it took so long since I had done a stint in the Navy – how does a guy serve in the Navy for years without setting foot on foreign soil? I did.
My first foreign trip was to the US, obviously; I don’t remember when exactly, but when I was 4 we lived in the Eastern Townships of Quebec and my mom (who is an American citizen) got a job just across the border in Newport, Vermont, so we went there routinely.
My first trip overseas was when I was 14, to France on an exchange trip for two weeks: Rouen, Dieppe, Honfleur, Giverny, and Paris.
I’m Canadian, so like many others from Canada, my first visit to a foreign country was to the USA. During a family visit to Niagara Falls, we walked across the Rainbow Bridge (and into the US) to see the Falls from the American side.
My American-born-and-raised wife’s first visit to a foreign country was to Canada. When she was a child living in the Seattle area, her family would head north into BC to go camping. But now that she lives here in Canada, she doesn’t really consider it to be foreign any more.