Steel

The first building constructed primarily of steel was the Home Insurance Building in Chicago, USA, completed in 1885. 

An excerpt from the article 14 facts about steel

The building was designed by architect William Le Baron Jenney. It had 10 stories and a height of 42.1 m (183 ft) and was later raised to 12 stories in 1891.

The building weighed about 30% of a masonry building, which caused panic among Chicago officials. They were so concerned about safety that at one point they stopped construction to make sure it wouldn't collapse.