The first threads would have been little more than thin leather, animal tendons, sinew or twine. Many ancient tribes knew which local plant or tree gave the best thread such as honeysuckle, reed and cactus. Clematis or Old Man's Beard was used for centuries as twine. It has amazing strength.
As the centuries went by we learned how to twist materials into thread such as fine wool and silk and then cotton, History of Cotton. Finally we mastered nylon and polyester or just synthetic threads.
Feel free to add.