is the step pyramid of Egypt the first stone structure made?

Answer 1

Hagar Qim on Malta is supposed to be older, the buildings are supposed to have started 3600 BC.
In comparison the first stone structures at stonehenge (there were timber structure before though) are dated to about 2700 BC, about the same time as the first step pyramid is said to have been constructed.

Answer 2

A pyramid is a pretty sophisticates structure. Even a step pyramid. (ziggurat)

Structures like Britain's Stonehenge precede the Egyptian pyramids by many thousands of years. Even some very primitive human ancestors could stack two blocks of stone.

Answer 3

Yes, This is the world's oldest major stone structure and earliest pyramid, built for Pharaoh Zoser of the 3rd Dynasty Old Kingdom, Dynasty III, c. 2675-2625 BCE
by his architect Imhotep see http://www.aldokkan.com/art/pyramid.htm before this sun-dried brick had been the usual building material.
Also see http://www.bluffton.edu/~sullivanm/egypt/saqqara/zoser/zoser.html

Answer 4

Are you talking big structures or any structures?
Obviously stone age man tens of thousands of years back stacked stones to make walls extending caves that were used as centers of seasonal hunting and where available stone was used for walls of structures as people began to extend agriculture. Since agriculture almost certainly began on river mud plains where there is little rock, mud brick (adobe) was more common, but complicated buildings like Mesa Verde (not very old but easy to remember and find on internet) were stacked of stone where rock was more common. Stone was also used for making terrace walls for leveling fields on hill and mountain sides.