There's a chance that the first truly-interstellar comet has been discovered.
Many comets have been deemed hyperbolic. That means they're not bound to the Sun. They have eccentricities >= 1.
Wikipedia has a list of them:
https://en.wikipedia.org/wiki/List_of_hyperbolic_comets
C/1980 E1 has the largest eccentricity of 1.057
But these comets were either boosted to escape velocity by a planet, or have eccentricities < 1 if their orbital elements are taken with respect to the Solar System's barycenter instead of the Sun. In other words, they came from here.
Newly-discovered comet, C/2017 U1, has an eccentricity of 1.2, and it hasn't come close to any of our gas giants. If confirmed, that would make it the first observed visitor from beyond the solar system, besides charged particles from Beta Pictoris.
http://www.minorplanetcenter.net/mpec/K17/K17UI1.html