According to The World of Ice & Fire, Valyrians only established an outpost in Westeros at the location that will be then called Dragonstone before the Doom hit them:
Perhaps in preparation for their crossing of the narrow sea, the Valyrians also established their westernmost outpost on the isle that would come to be known as Dragonstone some two hundred years before the Doom.
The World of Ice & Fire, The Doom of Valyria chapter
Apparently they were content to keep just this single stronghold without expandig further because their main interests were still in Essos:
Valyria felt its outpost was secured, and the dragonlords thus continued their schemes and intrigues on their native continent.
And then, unexpected to all (save perhaps Aenar Targaryen and his maiden daughter Daenys the Dreamer), the Doom came to Valyria.
The World of Ice & Fire, The Doom of Valyria chapter
While they were busy with their plans for Essos, the Doom struck, killing all the dragonlords except the Targaryens:
The dragonlords had been gathered in Valyria as was their wont... except for Aenar Targaryen, his children, and his dragons, who had fled to Dragonstone and so escaped the Doom.
The World of Ice & Fire, The Doom of Valyria chapter
and:
Twelve years before the Doom of Valyria (114 BC), Aenar Targaryen sold his holdings in the Freehold and the Lands of the Long Summer and moved with all his wives, wealth, slaves, dragons, siblings, kin, and children to Dragonstone, a bleak island citadel beneath a smoking mountain in the narrow sea.
The World of Ice & Fire, The Reign of the Dragons: The Conquest chapter
Targaryens left Valyria before the Doom because of a vision of Aenar's daughter of the imminent destruction of Valirya:
The Targaryens were far from the most powerful of the dragonlords, and their rivals saw their flight to Dragonstone as an act of surrender, as cowardice. But Lord Aenar’s maiden daughter Daenys, known forever afterward as Daenys the Dreamer, had foreseen the destruction of Valyria by fire. And when the Doom came twelve years later, the Targaryens were the only dragonlords to survive.
The World of Ice & Fire, The Reign of the Dragons: The Conquest chapter
Even after the Doom, and until the reign of Aegon the Conqueror more than a century after, Targaryens kept looking at Essos as their main sphere of interest:
Yet even so, for the best part of a hundred years after the Doom of Valyria (the rightly named Century of Blood), House Targaryen looked east, not west, and took little interest in the affairs of Westeros.
The World of Ice & Fire, The Reign of the Dragons: The Conquest chapter
As we have seen, Essos as the main priority for Targaryens was a habit rooted in a more general way on the whole Valyrian culture; more to the point of your question, there are a couple of speculations by Maesters living after the Doom that had limited access to Valyrian texts that try to give an answer to this:
Septon Barth speculated on the matter [of the contacts between Valyrians and the Westerlands], referring to a Valyrian text that has since been lost, suggesting that the Freehold's sorcerers foretold that the gold of Casterly Rock would destroy them. Archmaester Perestan has put forward a different, more plausible speculation, suggesting that the Valyrians had in ancient days reached as far as Oldtown but suffered some great reverse or tragedy there that caused them to shun all of Westeros thereafter.
The World of Ice & Fire, The Westerlands chapter
Summarizing, all of this basically explains mostly why were the Targaryens to conquer the Western continent, not why no one did it before, but I think that we can safely assume these things:
- Valyrians were most interested in the lands of Essos, where resided the most ancient and most refined civilizations (like Ancient Greece and Rome), instead of the rather uncivilized Westeros (comparable, I think, to the pre-feudal germanic kingdoms), that evidently was not a priority: they conquered a large part of the East, but only established a single stronghold in the West (Dragonstone).
- Probably the Valyrians planned to conquer Westeros later, when they thought that their business in Essos was completed, but at some point the Doom occured, and they suddenly stopped to plan conquests. Or to do anything else.
- Aenar Targaryen and his family were already on Dragonstone, so they escaped the Doom, but even then, the priority resided in the East (the wars between the Free Cities that suddenly were free from Valyrian rule).
- When Aegon Targaryen finally took interest in the West, there were no other Valyrian Dragonlords that could beat him on this race to conquest it: so it was extremely easy for him to be the first one.
Like I said, this mostly explain why Aegon was the first Dragonlord to conquer Westeros, not why nobody preceded him.
We also have two possible theories, that are in themselves just mere speculations, that try to answer why the conquer of Westeros was not a priority for Valyria:
- The most mythological one tells that they believed in a prophecy that viewed Westeros as the source of their future destruction.
- Another most rational view was that they somehow encountered great difficulties in their exploration of Westeros that made them consider that it wasn't worth the effort.
But it should be noted that this general indifference towards Westeros was not an strict rule or a self-imposed limitation for all Valyrians: we know that some minor families like the Velaryon and the Celtigar (that were not Dragonlord families) had settled on Westeros, always near Dragonstone, even before the Targaryen's own flight from Valyria.
Back to your question
So, why was Aegon the first to conquer Westeros with dragons, when others could have done it before?
I think that the simplest and truest answer is that
Others could have done it before, but no one actually did it because they were not interested, so he was the one to do it;
or, in other words
No one did it first because no one did it first.
