By Covenant, I think you mean the San 'Shyuum (Prophets). In which, it was the Sangheili (Elites) in which, they had a war and later 'joined forces' to create the Covenant. They then recruited the rest of the Covenant species. (Jiralhanae, Unggoy, etc.)
If you are talking about which species first joined the Covenant after its formation. Then we would have to leave it to an educated guess. Unggoy(Grunts) were one of the later species. Kig-yar(Jackals) were brought in after Unggoy to try and replace the grunts. Jiralhanae (Brutes) were last. So it was either the Lekgolo (Worms/Hunters), the Yanme'e (Drones/Bugs), the Huragok (Engineers), or possible some other species not seen or mentioned in the franchise so far.
If your talking about which humans encountered the Covenant first. Then it would be Sgt. Johnson and some Harvest Colonial Militia against the Kig-yar(Jackals) on the Covenant Missionary Vessel. This is of course if you do not include prehistoric humanity who had contract with the San 'Shyuum (Prophets) long before the formation of the Covenant.
It was Sgt. Johnson when he was a Staff Sergeant, with Staff Sgt. Nolan Byrne. And it was Jackals(Kig-Yar) boarding a Human ship. 220.127.116.11 22:32, October 3, 2011 (UTC)