'OMG' was first used in a letter from a British admiral to Winston Churchill in 1917.

“OMG” was first used in a letter from a British admiral to Winston Churchill in 1917.

Fisher, known as “Jacky”, is credited by the Oxford English Dictionary (OED) with first using the abbreviation “OMG”, when, in a letter to Winston Churchill in 1917, he wrote: “I hear that a new order of Knighthood is on the tapis—O.M.G. (Oh! My God!)—Shower it on the Admiralty!!”

Source