No, the Jews were the first Christians. A Christian means "a follower of Jesus Christ." They were the first to follow and believe and then the gentiles after the fact. They were first called christians in Antioch...they did not call themselves christians, but The Way.
I'm aware that Jesus and the Apostles were Jews.
While they did not discard their Jewish identity, the Apostles recognized Christ as the fulfillment of OT prophecies and of the New Covenant.
ETA: Also, Jesus said to Peter: "Upon this rock I will build my church and the gates of hell will not prevail against it." The Apostle Peter was a Jew, he was not a catholic. The Jews were the ones that were in the Upper Room. The Jews were the ones whom God used to preach the gospel to everyone, and they baptized them in the name of the Father, the Son and the Holy Spirit.
Jesus established a Church, of which Peter was the "Rock" (Matt. 16:18). Peter and the Apostles were charged with leading Christ's Church and authoritatively guiding and teaching it.
The Apostles appointed successors, Bishops, who would continue their work. These Bishops in turn appointed Bishops to succeed them. The Pope is the successor of Peter.
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The name "Catholic" appears in Christian literature for the first time around the end of the first century. By the time it was written down, it had certainly already been in use, for the indications are that everybody understood exactly what was meant by the name when it was written.
Around the year A.D. 107, a bishop, St. Ignatius of Antioch in the Near East, was arrested, brought to Rome by armed guards and eventually martyred there in the arena. In a farewell letter which this early bishop and martyr wrote to his fellow Christians in Smyrna (today Izmir in modern Turkey), he made the first written mention in history of "the Catholic Church." He wrote, "Where the bishop is present, there is the Catholic Church" (To the Smyrnaeans 8:2). Thus, the second century of Christianity had scarcely begun when the name of the Catholic Church was already in use.
Thereafter, mention of the name became more and more frequent in the written record. It appears in the oldest written account we possess outside the New Testament of the martyrdom of a Christian for his faith, the "Martyrdom of St. Polycarp," bishop of the same Church of Smyrna to which St. Ignatius of Antioch had written. St. Polycarp was martyred around 155, and the account of his sufferings dates back to that time.
The narrator informs us that in his final prayers before giving up his life for Christ, St. Polycarp "remembered all who had met with him at any time, both small and great, both those with and those without renown, and the whole Catholic Church throughout the world."
We know that St. Polycarp, at the time of his death in 155, had been a Christian for 86 years. He could not, therefore, have been born much later than 69 or 70. Yet it appears to have been a normal part of the vocabulary of a man of this era to be able to speak of "the whole Catholic Church throughout the world."