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The first (documented) hot-air balloon was made in the late 18th century.

The materials necessary (wood to burn, sheets for balloon) were around for thousands of years.

Why didn't anyone think of this invention earlier?

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    $\begingroup$ The Chinese knew about this on a small scale (Google the term sky lanterns), which was long before the 18th century. $\endgroup$ – KCd Jan 12 '15 at 15:51
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Hot air balloons that can carry people require very large amounts of fabric. They were first created a few decades after the "flying shuttle" made it possible for a single weaver to weave cloth wider than the weaver's arms -- and then made mechanized looms possible. On the shuttle and the looms see https://en.wikipedia.org/wiki/Loom

The hugely increased availability of fabric has to be one reason the balloons were first made at that time.

I am assuming hot air balloons were not used to create the Nazca Lines in Peru 1500 years ago.

Related issue: parachutes were clearly conceived centuries before hot air balloons carried people, and probably some were actually used in jumps from high places. But their well documented use and modern development began when people used them with hot air balloons. See https://en.wikipedia.org/wiki/Parachute

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