first train of the day
Refers to the earliest scheduled train departure on a given line or from a station.
I'll go to Tokyo on the first train tomorrow.
I got on the first train bound for Tokyo.
I missed the last train, so I decided to wait at the station for the first one.
I went back to my parents' house on the first train.
始発 is the short, everyday way to say 'first train,' while 始発電車 spells out '電車' explicitly and sounds slightly more formal or precise.
終電 is the last train of the day, the direct opposite of 始発電車, the first train of the day.
Compound of 始発 (first departure) + 電車 (electric train).