
Therein comes Darwin's evolution (what else?) to the rescue, and a simple fact of genetics. The answer seems to be almost straightforward in hindsight. Evolution teaches us that all species, including our chicken, derived (or speciated, using technical jargon) from an ancestral species. And genetics tell us that an individual's genetic makeup does not change during its lifetime. Therefore, the ancestral "pre-chicken" individual could not have metamorphosed into a modern hen as it was growing up, and instead the changes must have happened within the egg during the earliest stages of embryonic development, when rapid chromosomal mixing was taking place. To put it simply, the first chicken egg was laid, not by a hen, but by a "pre-hen". And therefore, egg came first, and the chicken followed.
The argument might still appear preposterous to many were it not for a sobering fact of evolution, which is the underlying continuity of changes as a species moves up its evolutionary ladder. (There are glaring exceptions, as the huge gaps in the fossil records stretching back to a few billion years bear testimony to, but that is a whole different story). We humans did not arrive overnight from tree-hopping monkeys, but progressed through a series of intermediate species over millions of years. Likewise, the ancestor of the hen might have been quite like the hen itself, and probably did not even spot the odd chick as it mingled happily with the rest of its nestlings.