The Ainulindalë, which describes the creation myth of Arda, does not make a distinction between which Ainur were created first, stating:
There was Eru, the One, who in Arda is called Ilúvatar; and he made first the Ainur, the Holy Ones, that were the offspring of his thought, and they were with him before aught else was made.
Or, without the flowery language, I read that is all Ainur—Valar and Maiar alike—were created before anything else, including the Great Music and the Flame Imperishable. It's not until well after Arda was created that who counts as Valar is described (emphasis mine):
Then it came to pass that of the Ainur some abode still with Ilúvatar beyond the confines of the World; but others, and among them many of the greatest and most fair, took the leave of Ilúvatar and descended into it. But this condition Ilúvatar made, or it is the necessity of their love, that their power should thenceforward be contained and bounded in the World, to be within it for ever, until it is complete, so that they are its life and it is theirs. And therefore they are named the Valar, the Powers of the World.
Or rather, the most powerful of the Ainur who descended into Arda became the Valar. The "lesser" Ainur came with them, acting as their entourage so to speak, as described in the Valaquenta:
With the Valar came other spirits whose being also began before the World, of the same order as the Valar but of less degree. These are the Maiar, the people of the Valar, and their servants and helpers.
This passage also confirms the Maiar were created before everything else, which would include the Balrogs and other Maiar we classify as "evil": it wasn't until after the descent did Melkor rebel and force everyone to choose sides, or as described in the Silmarillion chapter, "Of the Coming of Elves and the Captivity of Melkor":
And in Utumno [Melkor] gathered his demons about him, those spirits who first adhered to him in the days of his splendour, and became most like him in his corruption: their hearts were of fire, but they were cloaked in darkness, and terror went before them; they had whips of flame. Balrogs they were named in Middle-earth in later days.