The exploration of the first billion years of the history of the Universe represents one of the great challenges of contemporary astrophysics. This book contains the worked out lectures given at the 36th Saas-Fee Advanced Course "First Light in the Universe" by three eminent scientists in the field: Abraham Loeb, Andrea Ferrara, and Richard Ellis. The formation of the first stars and black holes, the initial mass function, feedback effects, early dust formation, the cosmic star formation history, distant galaxies, cosmic reionisation and the cosmic infrared background are the main topics treated. This book contains an accessible and up-to-date review of the field and will be useful to graduate students of astronomy, cosmologists, physicists and researchers. The topic of this book is particularly timely, as many new important observational facilities are being built, for which "first light in the universe" is one of the main science drivers.