From what I've taken from numerous history courses, the General belief is that mankind began in Africa. From a scientific standpoint it could stand to reason that that is where evolution first created the bipedal animal that is man. From a religious standpoint ( say Christianity ) you could say that is where the Garden of Eden was located.
Either way, the general belief is that mankind began in Africa. The first combat styles would be adapted from hunting to fit human beings of course, since banding together in armies for war is not a natural occurrence in nature. With that thought, you could stand to think that the first martial style was of African hunting styles that were refined into martial techniques for using the weapons on a thinking fighting human being. Open handed fighting ( in the world of our ancestors ) was an after thought, so that would have to be developed later.
Correct me if i'm wrong, but I believe the first non weapon martial art ever recorded was Pankration in Greece. Seeing as Greece is closer to Africa than Asia, it makes since. Pankration includes wrestling techniques, some joint locks and snaps, take downs, and punching and kicking techniques. It essentially has the basics of all other arts within it, which for such an ancient style was incredible. It was a fully open hand martial art, as the spartans would use it when robbed of their weapon or forced onto the ground during warfare. It soon however diffused into more of a sport to be used at the Olympics.
Now bare with me. It can be assumed IF all of this is correct, that the idea of pankration made it's way into Asia where it was even further refined into kung fu and even more techniques and stances were added, as well as training methods. The move to Japan brought the arts with them to create more Japanese styles.
Now i'm not saying this is the exact method of martial art transportation and history, but it is plausible and makes since. After all, pankration's kicks ( round kicks to low middle and high ), judo throws ( take the sacrifice throw for example ), greco roman wrestling and gloved boxing matches make up a lot of what martial arts are today. It was certainly the first recorded use of an art in civilian competition. It can be easily inferred how Asian warriors would turn the VERY bare bones simple art ( it was simple and too the point ) and make it their own by mimicking animals or finding new ways to strike or focusing on speed instead of power ( since they were naturally smaller people ).