Step 1: Recall the historical event.
The first Asian-African Conference, also known as the Bandung Conference, was held in 1955 in Bandung, Indonesia. The conference aimed to promote economic and cultural cooperation among the newly independent Asian and African countries and was significant for the development of the Non-Aligned Movement.
Step 2: Conclusion.
The correct answer is Bandung, where the conference was held.
Final Answer:
\[
\boxed{ \; Bandung}
\]