Some know from about age 3 or 4, which coincides with the age that humans typically begin to develop a sense of self (
https://en.wikipedia.org/wiki/Self-awareness#Infancy_and_early_childhood), so it makes sense that this would be the first time any gender misalignment may begin to manifest itself.
That is not to say that everyone does though. Other than hanging out with girls as much as (if not perhaps a bit more) than the boys, and spending many hours sitting on the couch watching my favourite film The Little Mermaid with my friend Cassie, when I was about 8, I was otherwise fairly gender-blind. I grew up in the kind of family where I was allowed to just be me. As far as I was concerned, I was never made aware of being either a "boy" or a "girl", I was just *ME*, and for one reason or another that never collided with anything in the world that made me aware of it. Maybe it was there in the background, maybe it wasn't. There's just nothing I can point to which definitively shows I had signs of being female at that point.
It wasn't until I hit my teens and high school that I started getting stick for being feminine. When the girls started hanging out with other female-borns and I found myself being lumbered with the guys (although I still managed to maintain a fair number of female friends). It was at this point that I started to realise that I didn't really belong with this group that I was being lumped in with, but obviously I didn't have a name for it at the time. I thought I was just weird, and of course ended up hanging out with the outcast groups (which in my case were the geeks/gamers, and the rockers / alternative crowd)
it wasn't until I was about 14 and I met a pair of guys called Lee and Steve. They were rather anarchy-minded, and one of the things we enjoyed doing together was skipping down the street with flowers in our hair (literally! we stole them from peoples front gardens lol) and basically acting all girly. It was an act of liberation / rebellion for us, but while it was just a bit of fun for them, I took it a lot more seriously, and spent many nights working out ways that we (or really *I*) could basically pass as female. I didn't know about ->-bleeped-<- at the time, and when this phase eventually passed after a few weeks, I just passed it off as a "silly phase" and moved on.
This of course was not the last time I'd have fantasies of being female - just a year later, I had a persistent role-play fantasy I would act out after my folks went to bed where I was in a future where gender roles had been reversed (i.e. guys would behave like girls, and girls would behave like guys). But this phase with Lee and Steve at 14 was the first thing that I can remember where I had definitive "I'd love to be / have been a girl!" thoughts that I can point to.
Despite this and numerous other similarly obvious phases / thoughts / fantasies etc, it wasn't until I was 27 that I linked all of this to being transgendered. I'm now 29 (soon to be 30), and the past couple of years has been about learning and understanding what this all means. I'm nearing a point of full acceptance, and hopefully soon I'll have manoeuvred myself into a position where I can actually *FINALLY* start to do something about it! (other than the basic prep-work I've been doing already that is lol

)
So yeh, 14 was the age of my first definitive trans-thoughts, and 27 was the age that I finally put a name to it lol