Khadija (ra), his wife, was the first person to believe his claims. She did not receive dawa or an invitation to believe from the Prophet (saw), rather tried to console him during his confusion explaining that he had probably experienced an angel rather than a demon. After a consultation with her cousin Waraqah, that he was a prophet ], thus the first believer before the Prophet even started calling to Islam.
By chance, Ali (ra) then saw the Prophet (saw) and Khadija (ra) praying, asking the Prophet (saw) about what he saw, and believing in him.
When Allah later asked his Prophet (saw) to start calling people to Islam, he was told to start with his clan and familial relatives.
وَأَنذِرْ عَشِيرَتَكَ الْأَقْرَبِينَ
"And warn, (O Muhammad), your closest kindred." (Qur'an 26:214)
The Prophet (saw) did not start calling for a social reorientation to Islam or individual change before this verse was revealed - it was only after this verse he started his activism with Quraysh elites.
His first step appears to be working with Ali (ra) to prepare a banquet for members of his clan (Banu Abd al-Muttalib), not once but three times. Ali cooked the meal and invited about forty men. The Prophet (saw) when given the opportunity to speak, invited them to accept him as a messenger and collectively follow Islamic as a clan.
When this attempt failed, he (saw) went to mount Safa and called the clans of Quraysh collectively asking them to believe in him and accept his call.
During these two events, Abu Bakr was away on a trade journey; on his return, he heard rumours about his friend Muhammad (saw) claiming to be a prophet and critiquing the Quraysh elites and their way of life. Abu Bakr asked him about this and the Prophet (saw) explained Allah had ordained him as a prophet and presented the revelation to him. Abu Bakr (ra) after pondering on his claims, believed him without hesitation.
Abu Bakr could not have believed in him before his call to the Quraysh leaders because he converted following hearing rumours of the Prophet's (saw) address to them.
A similar pattern can be discerned with all the evidences narrated about the conversions of the companions.
The Quraysh elites were the first and only people whom the Prophet (saw) proactively called to Islam. Everyone else believed in him through rumours that followed this call. Abu Bakr heard rumours of attempts the Prophet (saw) was making with the Quraysh elites, so went and asked him about his new faith and trajectory. He thereby believed in him and converted.
Ibn Kathir, as-Seera al-Nabawiyah
Ibn Hisham, as-Seera al-Nabawiyah
Ibn Ishaq, as-Siyar wa al-Maghazi
Tabari, Tarikh at-Tabari
Ya'muri, 'Uyun al-Athar
Kinani, al-Mukhtasar al-Kabir
Ibn al-Athir, al-Kamil fi at-Tarikh
Sohili, al-Rawd al-Aneef
Ibn Hiban, as-Seera al-Nabawiyah wa Akhbar al-Khulafa
Bayhaqi, Dala'il al-Nubuwah
Dhahabi, Tarikh al-Islam
Darami, as-Seera al-Nabawiyah.
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