Supermassive Black Holes (SMBHs) are ubiquitous in the contemporary universe. But when and where did they form? The recent discovery of quasars hosting SMBHs more massive than a billion solar masses at redshifts z > 7, when the universe was less than 700 Myr old, provides a substantial challenge to the current paradigm of a hierarchical structure formation in the universe, which tells us that massive objects form late in the history. Furthermore, the circumstances of seed SMBH formation are expected to leave a clear footprint on the observational appearance of the first AGN, termed as proto-AGN. In my talk, I will discuss the latest progress in our understanding of the formation of these most enigmatic objects.