Bhagavad Gita:

Chapter 4, Yoga of Renuncuiation or Renunciation through knowledge.

Krishna Says 

Arjuna, I have shown you the yoga that leads to the truth undying. I taught this yoga first to Vivaswat ( The Sun God) who in turn taught it to Manu and from Manu it was transferred to the sages and in royal succession carried it onwards from teacher to teacher till at length it was lost.

Arjuna asks:

Vivaswat(Surya Bhagvan) was born long before you. How am I to believe that you were the first to teach this Yoga?

Krishna replies:

You and I, Arjuna, have lived many lives. I remember them all. You do not remember any of them. I am the birthless the deathless and the Lord of all that breathes. I seem to be born , it is only seeming,  only my Maya.I am still the master of the power that makes me. When goodness grows weak, when evil increases, I make myself a body. In every age I come back to deliver the holy, to destroy the sin of the sinner, to establish righteousness. He who knows the nature of my task and my holy birth is not reborn when he leaves this body: he comes to me. Flying from fear, lust and anger he hides in me for refuge. Whatever wish men bring me in worship , I grant them. Whatever path men travel is my path. No matter where they walk it leads to me.

continued....

References : Bhagvad-Gita translated by swami Prabavananda and Christopher Isherwood. Introduction by Aldous Huxley.