I'll add my TL;DR at the top, since it's a bit of backstory and a long read.
TL;DR: When I was in my early teens.
The earliest memories I have of doing anything out of my assigned gender was wearing dresses to anime conventions a bit over a decade ago (I'm 22 now) - when I got home, I realized I had made it to national television, and my father saw it. He immediately told me that I was disowned if I ever did anything like that again.
I tried suppressing it a bit, and figured it was just a phase that I could get through. After that I shoplifted some makeup and nail polish, just stuff I could enjoy with myself; it was the only way I could avoid my father finding out about me. I was truly terrified of him. (I still feel bad for shoplifting, but it's over a decade ago, so I try to forgive myself).
Then when I was 14, I went to Thailand with my father, my brother and some of their friends. I went out one evening, got a few drinks, and ended up talking to a transgender sex worker. We ended up talking for several hours, and meeting up again a few more nights just to talk and have fun. After talking to her for a while, I started realizing the possibilities, and which things were actually possible to do with my life. It is no lie when I say that she changed my life.
Back in Denmark, I started realizing that as long as I was bound to my father, I would have no chance of transitioning. I ended up living with him till a few days before my 18th, then I moved in with a friend and what was supposed to be a wild life turned into pure poop. He was horrendous to live with, would make fun of anything and everything I would do that wasn't hyper masculine, so I suppressed the feelings again... When we parted ways, I was almost 20. That's when I finally contacted a gender therapist and got on my merry way. Now I'm only a few months off starting hormones, but I've been full-time because of our silly silly rules since September 1st 2013.
And for those wondering why my dad scared me? He would tell stories of how he stumbled into a gay bar while drunk, and the day after he would have to wash blood out of the stitchings of his military boots; he told those stories like he was proud, with a massive big grin on his face.