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Islamic researcher, graduated from Al-Azhar University, Islamic Studies in the English language. I also studied at Temple University in the US.
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In a Nutshell:
The Prophet (saw) did not initiate the dawa with Ali (ra), rather Ali saw him and his wife Khadija (ra) praying, then he asked the Prophet (saw) about what he saw. The next day, he came to the Prophet (saw) and accepted Islam.


Introduction

When the Prophet (saw) first received revelation, he was not asked to give dawa to people as individuals. After he was commanded to do so, he focused on the leaders, the influentials who collectively could reorient entire society - rather than individuals who would agree with him.

Scholars disagree on who was the first companion to embrace Islam after Khadija (ra), whether it was Ali, Abu Bakr or Zayd ibn Haritha (ra).

They generally solve the problem by saying Ali (ra) was the first of the youth, Abu Bakr (ra) was the first of the men and Zayd (ra) was the first of the slaves.

The Story of Ali's Conversion

Khadijah (ra) converted after a discussion with her cousin Waraqa bin Nawfal. Ali (ra) was living with the Prophet (saw) in his house at the time. One day, he entered the house and found the Prophet (saw) and his wife praying a different prayer than what he was used to seeing the Meccans perform.

He asked the Prophet (saw) about what he saw; the Prophet (saw) described to him the Message he received and its teachings, but Ali (ra) preferred not to convert until consulting with his father Abi Talib.

He slept on it at night, feeling convinced by the Prophet's claims, and did not inform his father. The following morning he went to the Prophet (saw) and delivered the testimony of faith. The Prophet (saw) then taught him the performance of prayer and they then began to pray together.

Ibn Ishaq said:

إنَ عَلِيّ بن أَبِي طَالِب جَاءَ بَعْدَ ذَلِكَ بِيَومَيْن فَوَجَدَهُمَا يُصَلِيَانِ، فَقَالَ عَلِىّ: مَا هَذَا يَا مُحَمَدُ؟ فَقَال النَبِيُ صَلى اللهُ عَلَيْه وسَلَمَ: دِينُ اللهِ الّذِي اْصْطَفَى لِنَفْسِهِ وبَعَثَ بِهِ رُسُلَهُ، فَأَدْعُوكَ إَلَى الله وَحْدَهُ، وإِلَى عِبَادَتُهُ، وكُفْرٍ بِاللّات والعُزْى.
َفَقَالَ لَهُ عَلِيّ: هَذَاَ أَمْرٌ لَمْ أَسْمَعْ بِهِ قَبْلَ اليَوْمِ فَلَسْتُ بِقَاضٍ أَمْرًا حتى أُحَدِثَ أبا طَالِبَ، ... فقال له: يا عَلِيّ إِذَا لَمْ تُسْلِمْ فاكْتُمْ، فَمَكَثَ عَلِيّ تِلْكَ اللّيْلَةِ، ثُمَ إنّ اللهَ أَوْقَعَ فِي قَلْبِ عَلِيٍّ الإسْلام.

ِفَأَصْبَحَ غَادِيًا إلى رَسُولِ اللهِ صَلَى اللهُ عَلَيْهِ وسَلْمَ حَتَى جاءَهُ فقال: مَا عَرَضْتَ عَلَيّ يَا مُحَمَدُ؟ فَقَال لهُ رسُول اللهِ صَلَى اللهُ عَلَيْهِ وَسَلَمَ: تَشْهَدُ أَلّا إِلَهَ إلا الله وَحْدَهُ لَا شَرِيكَ لَهُ، وتَكْفُرَ بِاللّاتِ والعُزَى، وتَبْرَأَ مِنَ الأنْدَادِ، فَفَعَلَ عَلِيّ وَأسْلَمَ، ومَكَثَ عَلِيّ يَأْتِيهِ عَلَى خَوْفٍ مِنْ أَبِي طَالِبٍ، وكَتَمَ عَلِيٌّ إسْلَامَهُ ولَمْ يَظْهَرْ بِهِ.
"Ali ibn Abi Talib came after two days (of the initiation of the revelation) and found them (the Prophet and his wife) praying. Ali asked, 'What is that, O Muhammad?'

'The chosen religion of Allah with which He (swt) sent His Messenger,' the Prophet (saw) replied. "
'I call you to worship only Allah and reject the worship of al-Lat and al-'Uzza,' the Prophet continued.
Ali said 'this is a matter I have never heard of before; I am not going to take a decision except after consulting Abi Talib.' …
He (the Prophet) replied, 'O Ali, if you won't accept Islam, so keep it as a secret.'
Ali Then stayed that night and then Islam entered his heart.
At the morning, he went to the Prophet (saw) and asked him, 'what did you told me before, O Muhammad?'
The Prophet answered, 'to testify that there is no god but Allah; to associate not anyone with him; to reject the worship of al-Lat and al-'Uzza as well as all the so-called likes of God.' Ali did. Ali stayed afraid of Abi Talib, so he hided his faith in Islam and did not show." (Ibn Ishaq, as-Siyar wa al-Maghazi, Vol. 1, pp. 137-138)

It was narrated that they used to pray together in the streets of Mecca:

رَسُولَ اللَّهِ صَلَّى اللهُ عَلَيْهِ وَسَلَّمَ كَانَ إذَا حَضَرَتْ الصَّلَاةُ خَرَجَ إلَى شِعَابِ مَكَّةَ، وَخَرَجَ مَعَهُ عَلِيُّ بْنُ أَبِي طَالِبٍ مُسْتَخْفِيًا مِنْ أَبِيهِ أَبِي طَالِبٍ
"When the time of prayer enter, the Messenger of Allah (saw) used to go out to pray in the streets of Mecca. Ali (ra) went out with him secretly, hiding from his father Abi Talib." (Ibn Hisham, as-Sirah al-Nabawiyah, Vol. 1, p. 246)

It was later narrated that Abi Talib told him after knowing his conversion:

ُإِنّهُ لَمْ يَدْعُكَ إِلّا إِلَى خَيْرٍ فَالزَمْه
"He (Muhammad) would not call you except to goodness, so at his path." (Ibn Hisham, as-Sirah al-Nabawiyah, Vol. 1, p. 247, Halabi, as-Sirah al-Halabiyah, Vol. 1, p. 385)


Conclusion

The Prophet (saw) did not initiate the dawa with Ali (ra), rather Ali saw him and his wife Khadija (ra) praying, then he asked the Prophet (saw) about what he saw. On the next day, he came to the Prophet (saw) and accepted Islam.

References

Ibn Ishaq, as-Siyar wa al-Maghazi
Ibn Hisham, as-Sirah al-Nabawiyah
Halabi, as-Sirah al-Halabiyah


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