In the 31st century, earth is home to many aliens and alien planets are home to many humans.
When did humans first meet creatures known to be aliens?
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In the Futurama universe, humans technically first met aliens when the Thubanians (i.e. cats) arrived in ancient Egypt and were revered as gods, as depicted in the episode "That Darn Katz". They were responsible for the construction of the Great Pyramid of Giza. Later, the Osirians claim to have visited Earth (somehow) and learned pyramid building and space travel (likely from the Thubanians).
With regard to the first meeting between humans and aliens in the modern age (i.e. twentieth century or later), then Zoidberg is probably the first known alien to have had contact with humans when the Planet Express crew went back in time to 1947 during the episode "Roswell that Ends Well". After being captured by the military in Roswell, New Mexico, Zoidberg is interrogated, experimented on, and partially dissected before escaping back to the year 3002.